Trend-Following Backtester · Guide · backtest 한국어
equity · NO
DNB Bank ASA backtest
10 trend-following strategies were compared on the full daily history of DNB Bank ASA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -44.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -82.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -44.6%, Sharpe 0.47, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 37.8%p (CAGR 8.6%, MDD -44.6%, exposure 81%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=29, exitN=79 |
8.6% | -44.6% | 0.47 | 0.19 | 9.0x | 51 | 81% |
| EMA 크로스오버 fast=34, slow=136 |
7.0% | -48.6% | 0.43 | 0.14 | 6.0x | 47 | 68% |
| SMA 크로스오버 fast=17, slow=219 |
6.8% | -45.1% | 0.43 | 0.15 | 5.8x | 47 | 67% |
| ROC 모멘텀 n=137, threshold=-0.03 |
4.9% | -58.8% | 0.33 | 0.08 | 3.6x | 189 | 73% |
| Supertrend period=20, mult=4.5 |
3.8% | -58.7% | 0.28 | 0.06 | 2.7x | 99 | 59% |
| 볼린저 밴드 돌파 n=36, k=2.7 |
2.0% | -39.0% | 0.22 | 0.05 | 1.7x | 76 | 20% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.9% | -53.8% | 0.19 | 0.03 | 1.6x | 221 | 55% |
| ADX / DI 방향성 period=34, threshold=20 |
0.4% | -31.9% | 0.09 | 0.01 | 1.1x | 52 | 12% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3.1 |
0.2% | -64.0% | 0.09 | 0.00 | 1.0x | 104 | 33% |
| MACD fast=23, slow=52, signal=31 |
-1.0% | -64.6% | 0.06 | -0.02 | 0.8x | 233 | 52% |
| Buy and hold | 8.9% | -82.4% | 0.43 | 0.11 | 9.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 29 days
- Sell — Sell when price breaks below the lowest low of the last 79 days