Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Austevoll Seafood ASA backtest
10 trend-following strategies were compared on the full daily history of Austevoll Seafood ASA. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.0%, MDD -12.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.1%, drawdown -84.2%).
Sharpe leader (same as main): Supertrend — CAGR 11.8%, MDD -42.0%, Sharpe 0.62, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 4.0%, MDD -12.5%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=33, mult=4.8 |
11.8% | -42.0% | 0.62 | 0.28 | 9.2x | 51 | 51% |
| Donchian 채널 돌파 entryN=52, exitN=50 |
11.4% | -40.5% | 0.60 | 0.28 | 8.6x | 37 | 53% |
| ADX / DI 방향성 period=25, threshold=34 |
4.0% | -12.5% | 0.59 | 0.32 | 2.2x | 10 | 3% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
5.2% | -21.3% | 0.53 | 0.24 | 2.7x | 12 | 9% |
| SMA 크로스오버 fast=14, slow=93 |
9.5% | -50.6% | 0.52 | 0.19 | 6.0x | 69 | 54% |
| EMA 크로스오버 fast=8, slow=78 |
9.0% | -53.2% | 0.50 | 0.17 | 5.5x | 89 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=19, mult=4 |
2.2% | -11.4% | 0.49 | 0.19 | 1.5x | 4 | 1% |
| ROC 모멘텀 n=67, threshold=0.14 |
5.1% | -42.1% | 0.39 | 0.12 | 2.7x | 152 | 24% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.4% | -54.5% | 0.22 | 0.04 | 1.6x | 177 | 49% |
| MACD fast=19, slow=34, signal=24 |
-0.2% | -69.2% | 0.11 | -0.00 | 1.0x | 211 | 50% |
| Buy and hold | 4.1% | -84.2% | 0.29 | 0.05 | 2.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 33-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)