Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Mowi ASA backtest
10 trend-following strategies were compared on the full daily history of Mowi ASA. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.2%, MDD -32.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.1%, drawdown -100.0%).
Sharpe leader (same as main): Supertrend — CAGR 16.3%, MDD -58.5%, Sharpe 0.61, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.4%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 4.2%, MDD -32.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.2 |
16.3% | -58.5% | 0.61 | 0.28 | 56.2x | 97 | 53% |
| SMA 크로스오버 fast=28, slow=69 |
12.4% | -84.3% | 0.51 | 0.15 | 22.7x | 87 | 57% |
| EMA 크로스오버 fast=25, slow=53 |
10.9% | -71.6% | 0.49 | 0.15 | 15.8x | 89 | 56% |
| 볼린저 밴드 돌파 n=35, k=2.5 |
6.9% | -68.0% | 0.40 | 0.10 | 5.9x | 102 | 22% |
| Donchian 채널 돌파 entryN=67, exitN=34 |
8.1% | -66.3% | 0.39 | 0.12 | 7.9x | 69 | 46% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=3.6 |
4.2% | -32.0% | 0.38 | 0.13 | 3.0x | 20 | 3% |
| ADX / DI 방향성 period=16, threshold=34 |
5.2% | -48.8% | 0.33 | 0.11 | 3.9x | 64 | 7% |
| ROC 모멘텀 n=131, threshold=-0.04 |
-0.0% | -95.0% | 0.17 | -0.00 | 1.0x | 200 | 63% |
| MACD fast=24, slow=59, signal=21 |
-8.7% | -99.8% | 0.12 | -0.09 | 0.1x | 237 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.4% | -94.3% | 0.11 | -0.03 | 0.5x | 215 | 51% |
| Buy and hold | -12.1% | -100.0% | 0.19 | -0.12 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)