Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Kongsberg Gruppen ASA backtest
10 trend-following strategies were compared on the full daily history of Kongsberg Gruppen ASA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -43.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -40.8%, Sharpe 0.68, 64% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=91 |
14.5% | -40.8% | 0.68 | 0.36 | 37.0x | 66 | 64% |
| Donchian 채널 돌파 entryN=26, exitN=78 |
14.0% | -45.2% | 0.61 | 0.31 | 32.9x | 52 | 78% |
| EMA 크로스오버 fast=44, slow=148 |
12.2% | -53.7% | 0.59 | 0.23 | 21.1x | 48 | 64% |
| ADX / DI 방향성 period=40, threshold=28 |
3.2% | -15.4% | 0.48 | 0.21 | 2.3x | 8 | 5% |
| Supertrend period=20, mult=4.8 |
9.1% | -49.4% | 0.48 | 0.18 | 10.0x | 78 | 63% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=3.7 |
5.5% | -31.8% | 0.40 | 0.17 | 4.2x | 72 | 30% |
| ROC 모멘텀 n=112, threshold=-0.04 |
7.0% | -73.9% | 0.39 | 0.09 | 6.0x | 246 | 73% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.7% | -5.8% | 0.34 | 0.13 | 1.2x | 6 | 1% |
| Parabolic SAR step=0.03, maxStep=0.04 |
5.3% | -48.1% | 0.34 | 0.11 | 3.9x | 296 | 56% |
| MACD fast=12, slow=54, signal=18 |
2.1% | -65.5% | 0.20 | 0.03 | 1.7x | 345 | 50% |
| Buy and hold | 16.1% | -43.3% | 0.62 | 0.37 | 53.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 91-day average
- Sell — Sell (to cash) when the 40-day average falls below the 91-day average