Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Veidekke ASA backtest
10 trend-following strategies were compared on the full daily history of Veidekke ASA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -35.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.0%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -35.2%, Sharpe 0.61, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 11.2%, MDD -35.2%, exposure 59%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=10, slow=127 |
11.2% | -35.2% | 0.61 | 0.32 | 16.9x | 79 | 59% |
| EMA 크로스오버 fast=26, slow=74 |
10.4% | -41.0% | 0.58 | 0.25 | 13.7x | 69 | 59% |
| Donchian 채널 돌파 entryN=26, exitN=16 |
9.3% | -38.1% | 0.54 | 0.24 | 10.6x | 131 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=2.6 |
7.2% | -28.6% | 0.53 | 0.25 | 6.3x | 91 | 35% |
| 볼린저 밴드 돌파 n=60, k=2 |
7.2% | -35.0% | 0.50 | 0.21 | 6.4x | 100 | 39% |
| ROC 모멘텀 n=96, threshold=-0.03 |
8.6% | -54.2% | 0.49 | 0.16 | 9.0x | 213 | 65% |
| MACD fast=22, slow=73, signal=16 |
7.6% | -49.1% | 0.46 | 0.16 | 7.1x | 232 | 50% |
| Supertrend period=35, mult=3.7 |
7.2% | -56.6% | 0.42 | 0.13 | 6.4x | 109 | 63% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.2% | -67.0% | 0.25 | 0.05 | 2.3x | 225 | 58% |
| ADX / DI 방향성 period=11, threshold=26 |
2.0% | -43.2% | 0.21 | 0.05 | 1.7x | 286 | 25% |
| Buy and hold | 10.0% | -77.2% | 0.46 | 0.13 | 12.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 10-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 10-day average falls below the 127-day average