Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Entra ASA backtest
10 trend-following strategies were compared on the full daily history of Entra ASA. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.2%, MDD -20.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.8%, drawdown -63.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -40.4%, Sharpe 0.42, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 5.2%, MDD -20.6%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=185 |
6.2% | -40.4% | 0.42 | 0.15 | 2.0x | 8 | 56% |
| Donchian 채널 돌파 entryN=41, exitN=26 |
5.2% | -20.6% | 0.41 | 0.25 | 1.8x | 31 | 46% |
| SMA 크로스오버 fast=36, slow=218 |
5.6% | -40.4% | 0.40 | 0.14 | 1.9x | 18 | 53% |
| ADX / DI 방향성 period=13, threshold=48 |
1.4% | -6.6% | 0.39 | 0.22 | 1.2x | 12 | 4% |
| Supertrend period=27, mult=4.3 |
4.2% | -31.8% | 0.32 | 0.13 | 1.6x | 32 | 57% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.8% | -3.9% | 0.32 | 0.20 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=22, mult=3.7 |
1.1% | -10.9% | 0.21 | 0.10 | 1.1x | 14 | 11% |
| ROC 모멘텀 n=170, threshold=-0.04 |
0.8% | -52.4% | 0.13 | 0.01 | 1.1x | 72 | 63% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.0% | -64.2% | -0.26 | -0.09 | 0.5x | 110 | 51% |
| MACD fast=15, slow=29, signal=16 |
-8.3% | -69.7% | -0.37 | -0.12 | 0.4x | 178 | 49% |
| Buy and hold | 3.8% | -63.3% | 0.28 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 185-day EMA
- Sell — Sell when the 54-day EMA falls below the 185-day EMA