Trend-Following Backtester · Guide · backtest 한국어
equity · NO
SpareBank 1 SMN backtest
10 trend-following strategies were compared on the full daily history of SpareBank 1 SMN. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.0%, MDD -28.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -71.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -28.8%, Sharpe 0.62, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 10.0%, MDD -28.8%, exposure 61%).
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=43, slow=58 |
10.0% | -28.8% | 0.62 | 0.35 | 12.7x | 60 | 61% |
| SMA 크로스오버 fast=15, slow=121 |
9.8% | -31.7% | 0.62 | 0.31 | 12.1x | 68 | 60% |
| Donchian 채널 돌파 entryN=45, exitN=72 |
9.4% | -33.5% | 0.57 | 0.28 | 10.9x | 46 | 69% |
| Supertrend period=9, mult=4.7 |
7.4% | -31.7% | 0.52 | 0.23 | 6.7x | 84 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=2 |
6.2% | -33.7% | 0.50 | 0.18 | 5.0x | 132 | 44% |
| 볼린저 밴드 돌파 n=54, k=2.3 |
5.0% | -27.9% | 0.46 | 0.18 | 3.6x | 86 | 32% |
| ROC 모멘텀 n=99, threshold=-0.08 |
6.7% | -59.1% | 0.42 | 0.11 | 5.6x | 193 | 77% |
| ADX / DI 방향성 period=26, threshold=21 |
2.6% | -26.9% | 0.34 | 0.10 | 2.0x | 84 | 15% |
| MACD fast=33, slow=50, signal=30 |
3.5% | -40.0% | 0.29 | 0.09 | 2.5x | 187 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.8% | -56.2% | 0.19 | 0.03 | 1.6x | 215 | 56% |
| Buy and hold | 7.6% | -71.7% | 0.41 | 0.11 | 7.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 58-day EMA
- Sell — Sell when the 43-day EMA falls below the 58-day EMA