Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Elkem ASA backtest
10 trend-following strategies were compared on the full daily history of Elkem ASA. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.0%, MDD -16.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.9%, drawdown -75.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -53.2%, Sharpe 0.44, 81% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 3.0%, MDD -16.1%, exposure 7%).
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=13, exitN=54 |
9.9% | -53.2% | 0.44 | 0.19 | 2.2x | 21 | 81% |
| MACD fast=8, slow=37, signal=24 |
7.3% | -48.4% | 0.39 | 0.15 | 1.8x | 100 | 51% |
| ADX / DI 방향성 period=26, threshold=47 |
0.9% | -1.0% | 0.36 | 0.89 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=22, k=3 |
3.0% | -16.1% | 0.31 | 0.19 | 1.3x | 14 | 7% |
| ROC 모멘텀 n=38, threshold=-0.03 |
3.4% | -61.6% | 0.26 | 0.06 | 1.3x | 121 | 60% |
| Parabolic SAR step=0.015, maxStep=0.22 |
2.7% | -43.9% | 0.24 | 0.06 | 1.3x | 140 | 51% |
| EMA 크로스오버 fast=10, slow=250 |
0.3% | -58.2% | 0.14 | 0.00 | 1.0x | 21 | 44% |
| SMA 크로스오버 fast=43, slow=47 |
-0.6% | -53.5% | 0.13 | -0.01 | 1.0x | 87 | 53% |
| Supertrend period=20, mult=4.9 |
-1.2% | -57.4% | 0.10 | -0.02 | 0.9x | 31 | 52% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=1.7 |
-2.3% | -51.6% | 0.02 | -0.04 | 0.8x | 57 | 38% |
| Buy and hold | 1.9% | -75.1% | 0.26 | 0.03 | 1.2x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 54 days