Trend-Following Backtester · Guide · backtest 한국어
equity · DK
GronlandsBANKEN A/S backtest
10 trend-following strategies were compared on the full daily history of GronlandsBANKEN A/S. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -35.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.3%, drawdown -78.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -50.4%, Sharpe 0.51, 88% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 7.4%, MDD -35.4%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=125, threshold=-0.1 |
9.5% | -50.4% | 0.51 | 0.19 | 11.2x | 65 | 88% |
| Donchian 채널 돌파 entryN=38, exitN=72 |
8.9% | -38.9% | 0.50 | 0.23 | 9.7x | 41 | 68% |
| SMA 크로스오버 fast=40, slow=223 |
7.4% | -35.4% | 0.45 | 0.21 | 6.7x | 27 | 64% |
| EMA 크로스오버 fast=55, slow=142 |
6.8% | -37.4% | 0.42 | 0.18 | 5.8x | 35 | 65% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=25, mult=4 |
3.3% | -29.5% | 0.32 | 0.11 | 2.4x | 58 | 17% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
2.8% | -35.8% | 0.28 | 0.08 | 2.1x | 52 | 17% |
| Supertrend period=26, mult=4.5 |
2.8% | -64.4% | 0.23 | 0.04 | 2.1x | 91 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.0% | -60.6% | 0.20 | 0.03 | 1.7x | 166 | 49% |
| ADX / DI 방향성 period=36, threshold=32 |
0.4% | -7.8% | 0.13 | 0.05 | 1.1x | 4 | 1% |
| MACD fast=31, slow=59, signal=37 |
-1.0% | -73.1% | 0.05 | -0.01 | 0.8x | 192 | 51% |
| Buy and hold | 6.3% | -78.9% | 0.36 | 0.08 | 5.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 125-day return is greater than -10%
- Sell — Sell when the 125-day return drops to -10% or below