Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Nordea Bank Abp backtest
10 trend-following strategies were compared on the full daily history of Nordea Bank Abp. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -50.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.3%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -50.6%, Sharpe 0.33, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 4.6%, MDD -50.6%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=187 |
4.6% | -50.6% | 0.33 | 0.09 | 3.3x | 35 | 57% |
| EMA 크로스오버 fast=57, slow=108 |
3.6% | -53.8% | 0.28 | 0.07 | 2.5x | 39 | 59% |
| Donchian 채널 돌파 entryN=42, exitN=53 |
1.7% | -48.4% | 0.18 | 0.04 | 1.6x | 67 | 60% |
| ADX / DI 방향성 period=39, threshold=13 |
1.3% | -39.0% | 0.16 | 0.03 | 1.4x | 114 | 27% |
| 볼린저 밴드 돌파 n=50, k=1.2 |
1.0% | -58.8% | 0.14 | 0.02 | 1.3x | 169 | 44% |
| ROC 모멘텀 n=113, threshold=-0.03 |
0.5% | -67.0% | 0.13 | 0.01 | 1.1x | 253 | 64% |
| Supertrend period=27, mult=4.1 |
-0.1% | -65.8% | 0.10 | -0.00 | 1.0x | 121 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=3.7 |
0.4% | -43.2% | 0.09 | 0.01 | 1.1x | 68 | 25% |
| MACD fast=13, slow=22, signal=18 |
-7.7% | -91.9% | -0.25 | -0.08 | 0.1x | 431 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-9.1% | -95.1% | -0.32 | -0.10 | 0.1x | 477 | 54% |
| Buy and hold | 4.3% | -72.8% | 0.29 | 0.06 | 3.0x | 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 52-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 52-day average falls below the 187-day average