Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Yara International ASA backtest
10 trend-following strategies were compared on the full daily history of Yara International ASA. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -60.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -80.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.5%, MDD -29.9%, Sharpe 0.55, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.9%, MDD -60.1%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 50.4%p (CAGR 7.9%, MDD -60.1%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=18 |
6.5% | -29.9% | 0.55 | 0.22 | 4.1x | 22 | 14% |
| 볼린저 밴드 돌파 n=77, k=2.5 |
6.7% | -48.7% | 0.45 | 0.14 | 4.3x | 48 | 29% |
| Donchian 채널 돌파 entryN=41, exitN=45 |
7.9% | -60.1% | 0.44 | 0.13 | 5.5x | 58 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=3.6 |
6.1% | -54.5% | 0.43 | 0.11 | 3.8x | 60 | 29% |
| SMA 크로스오버 fast=8, slow=51 |
7.4% | -81.0% | 0.42 | 0.09 | 4.9x | 161 | 55% |
| EMA 크로스오버 fast=21, slow=25 |
6.9% | -72.8% | 0.40 | 0.10 | 4.5x | 142 | 55% |
| Supertrend period=29, mult=3.8 |
4.7% | -75.2% | 0.31 | 0.06 | 2.8x | 118 | 53% |
| ROC 모멘텀 n=84, threshold=0.07 |
3.9% | -70.3% | 0.29 | 0.05 | 2.3x | 192 | 39% |
| MACD fast=17, slow=56, signal=13 |
1.1% | -78.8% | 0.16 | 0.01 | 1.3x | 291 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-4.3% | -87.2% | -0.06 | -0.05 | 0.4x | 473 | 52% |
| Buy and hold | 10.4% | -80.3% | 0.46 | 0.13 | 9.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 44-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)