Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Gjensidige Forsikring ASA backtest
10 trend-following strategies were compared on the full daily history of Gjensidige Forsikring ASA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -34.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -29.8%, Sharpe 0.47, 70% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=73, slow=211 |
6.9% | -29.8% | 0.47 | 0.23 | 2.8x | 15 | 70% |
| SMA 크로스오버 fast=57, slow=209 |
6.2% | -34.1% | 0.44 | 0.18 | 2.5x | 20 | 66% |
| Supertrend period=29, mult=3 |
5.1% | -25.5% | 0.40 | 0.20 | 2.2x | 101 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.2% | -29.0% | 0.28 | 0.11 | 1.6x | 113 | 57% |
| Donchian 채널 돌파 entryN=21, exitN=57 |
3.1% | -48.3% | 0.26 | 0.06 | 1.6x | 51 | 74% |
| ROC 모멘텀 n=132, threshold=-0.04 |
0.7% | -66.8% | 0.13 | 0.01 | 1.1x | 119 | 75% |
| MACD fast=22, slow=51, signal=17 |
0.7% | -48.2% | 0.12 | 0.01 | 1.1x | 157 | 52% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=2.3 |
0.1% | -44.3% | 0.07 | 0.00 | 1.0x | 81 | 38% |
| ADX / DI 방향성 period=37, threshold=35 |
0.0% | -2.6% | 0.04 | 0.01 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=24, k=3 |
-0.4% | -23.2% | -0.00 | -0.02 | 0.9x | 46 | 14% |
| Buy and hold | 10.5% | -34.9% | 0.57 | 0.30 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 73-day EMA crosses above the 211-day EMA
- Sell — Sell when the 73-day EMA falls below the 211-day EMA