Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Kitron ASA backtest
10 trend-following strategies were compared on the full daily history of Kitron ASA. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.9%, MDD -56.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.9%, drawdown -94.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.2%, MDD -48.9%, Sharpe 0.43, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.5%, MDD -76.6%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 45.7%p (CAGR 6.9%, MDD -56.7%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=21 |
6.2% | -48.9% | 0.43 | 0.13 | 4.9x | 40 | 10% |
| EMA 크로스오버 fast=15, slow=198 |
8.5% | -66.0% | 0.42 | 0.13 | 8.8x | 59 | 50% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
6.9% | -56.7% | 0.41 | 0.12 | 5.9x | 56 | 23% |
| Donchian 채널 돌파 entryN=30, exitN=54 |
8.5% | -76.6% | 0.40 | 0.11 | 8.8x | 62 | 69% |
| SMA 크로스오버 fast=58, slow=84 |
7.5% | -64.7% | 0.39 | 0.12 | 6.9x | 82 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=4 |
5.5% | -48.7% | 0.36 | 0.11 | 4.1x | 52 | 21% |
| Supertrend period=11, mult=5 |
5.5% | -83.3% | 0.33 | 0.07 | 4.2x | 82 | 54% |
| ROC 모멘텀 n=126, threshold=0.06 |
1.6% | -85.1% | 0.19 | 0.02 | 1.5x | 254 | 44% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-3.5% | -97.2% | 0.06 | -0.04 | 0.4x | 385 | 47% |
| MACD fast=16, slow=59, signal=19 |
-10.9% | -98.4% | -0.15 | -0.11 | 0.0x | 339 | 51% |
| Buy and hold | 6.9% | -94.6% | 0.39 | 0.07 | 5.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)