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. 4 beat buy-and-hold CAGR; EMA 크로스오버 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
4 of 10 beat buy and hold (CAGR 6.7%, drawdown -94.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.0%, MDD -66.0%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 28.6%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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=15, slow=198 |
9.0% | -66.0% | 0.44 | 0.14 | 10.0x | 56 | 50% |
| ADX / DI 방향성 period=34, threshold=21 |
6.2% | -48.9% | 0.43 | 0.13 | 4.9x | 40 | 10% |
| 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 |
7.6% | -64.7% | 0.39 | 0.12 | 7.0x | 81 | 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 |
1.8% | -85.1% | 0.20 | 0.02 | 1.6x | 250 | 43% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-3.5% | -97.2% | 0.06 | -0.04 | 0.4x | 383 | 47% |
| MACD fast=16, slow=59, signal=19 |
-10.9% | -98.4% | -0.15 | -0.11 | 0.0x | 338 | 50% |
| Buy and hold | 6.7% | -94.6% | 0.38 | 0.07 | 5.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 15-day EMA crosses above the 198-day EMA
- Sell — Sell when the 15-day EMA falls below the 198-day EMA