Trend-Following Backtester · Guide · backtest 한국어
equity · NO
BlueNord ASA backtest
10 trend-following strategies were compared on the full daily history of BlueNord ASA. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.8%, MDD -73.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.4%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -73.2%, Sharpe 0.44, 46% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 36.2%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 9.8%, MDD -73.2%, exposure 46%).
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=51, slow=62 |
9.8% | -73.2% | 0.44 | 0.13 | 5.8x | 98 | 46% |
| Donchian 채널 돌파 entryN=21, exitN=47 |
-1.1% | -96.9% | 0.37 | -0.01 | 0.8x | 44 | 70% |
| ROC 모멘텀 n=83, threshold=-0.13 |
-2.2% | -96.0% | 0.35 | -0.02 | 0.7x | 107 | 69% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.8% | -97.8% | 0.27 | -0.07 | 0.3x | 244 | 51% |
| 볼린저 밴드 돌파 n=42, k=2.1 |
-5.0% | -93.7% | 0.26 | -0.05 | 0.4x | 68 | 29% |
| EMA 크로스오버 fast=56, slow=88 |
-5.6% | -95.5% | 0.25 | -0.06 | 0.3x | 26 | 47% |
| Supertrend period=11, mult=2.3 |
-6.8% | -97.7% | 0.25 | -0.07 | 0.3x | 131 | 52% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=1.2 |
-7.8% | -93.1% | 0.21 | -0.08 | 0.2x | 124 | 35% |
| ADX / DI 방향성 period=46, threshold=16 |
-6.8% | -94.4% | 0.21 | -0.07 | 0.3x | 42 | 22% |
| MACD fast=7, slow=41, signal=11 |
-4.9% | -94.2% | 0.20 | -0.05 | 0.4x | 291 | 54% |
| Buy and hold | -26.4% | -100.0% | 0.10 | -0.26 | 0.0x | 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 51-day average price crosses above the 62-day average
- Sell — Sell (to cash) when the 51-day average falls below the 62-day average