Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Elopak ASA backtest
10 trend-following strategies were compared on the full daily history of Elopak ASA. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -11.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.1%, drawdown -52.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.2%, MDD -15.6%, Sharpe 0.88, 38% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.0%, MDD -19.9%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 13.9%, MDD -11.3%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=65, k=2.4 |
15.2% | -15.6% | 0.88 | 0.97 | 2.1x | 8 | 38% |
| Donchian 채널 돌파 entryN=86, exitN=12 |
13.9% | -11.3% | 0.88 | 1.23 | 1.9x | 10 | 33% |
| SMA 크로스오버 fast=41, slow=59 |
17.0% | -19.9% | 0.85 | 0.86 | 2.2x | 16 | 56% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=16, mult=2.5 |
12.7% | -23.0% | 0.76 | 0.55 | 1.8x | 10 | 38% |
| Supertrend period=17, mult=4.6 |
15.5% | -24.5% | 0.74 | 0.63 | 2.1x | 10 | 58% |
| ROC 모멘텀 n=76, threshold=0.07 |
13.0% | -22.3% | 0.72 | 0.58 | 1.9x | 36 | 43% |
| EMA 크로스오버 fast=6, slow=109 |
10.9% | -21.4% | 0.58 | 0.51 | 1.7x | 18 | 57% |
| ADX / DI 방향성 period=25, threshold=22 |
5.8% | -14.1% | 0.48 | 0.42 | 1.3x | 16 | 15% |
| MACD fast=18, slow=57, signal=16 |
1.2% | -31.7% | 0.16 | 0.04 | 1.1x | 53 | 45% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-1.1% | -36.4% | 0.06 | -0.03 | 0.9x | 95 | 52% |
| Buy and hold | 5.1% | -52.2% | 0.32 | 0.10 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 65-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 65-day middle average