Trend-Following Backtester · Guide · backtest 한국어
equity · DE
NORMA Group SE backtest
10 trend-following strategies were compared on the full daily history of NORMA Group SE. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -22.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.8%, drawdown -86.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -37.3%, Sharpe 0.59, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 0.5%, MDD -22.7%, exposure 3%).
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=30, slow=72 |
12.1% | -37.3% | 0.59 | 0.33 | 5.8x | 41 | 53% |
| Donchian 채널 돌파 entryN=37, exitN=54 |
9.9% | -42.8% | 0.49 | 0.23 | 4.2x | 33 | 61% |
| EMA 크로스오버 fast=35, slow=60 |
9.2% | -43.5% | 0.48 | 0.21 | 3.9x | 37 | 53% |
| Supertrend period=29, mult=4.1 |
9.3% | -37.8% | 0.48 | 0.24 | 3.9x | 55 | 53% |
| ROC 모멘텀 n=42, threshold=0 |
6.8% | -50.0% | 0.39 | 0.14 | 2.7x | 189 | 53% |
| Parabolic SAR step=0.005, maxStep=0.28 |
6.0% | -52.9% | 0.36 | 0.11 | 2.4x | 127 | 49% |
| 볼린저 밴드 돌파 n=63, k=1.4 |
4.6% | -37.4% | 0.32 | 0.12 | 2.0x | 63 | 41% |
| MACD fast=15, slow=72, signal=19 |
4.1% | -69.1% | 0.28 | 0.06 | 1.8x | 148 | 50% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=17, mult=1.6 |
3.3% | -35.6% | 0.26 | 0.09 | 1.6x | 81 | 41% |
| ADX / DI 방향성 period=17, threshold=34 |
0.5% | -22.7% | 0.10 | 0.02 | 1.1x | 20 | 3% |
| Buy and hold | -0.8% | -86.8% | 0.16 | -0.01 | 0.9x | 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 30-day average price crosses above the 72-day average
- Sell — Sell (to cash) when the 30-day average falls below the 72-day average