Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Orkla ASA backtest
10 trend-following strategies were compared on the full daily history of Orkla ASA. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -82.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -9.5%, Sharpe 0.38, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.7%, MDD -45.5%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=37 |
1.4% | -9.5% | 0.38 | 0.15 | 1.5x | 6 | 3% |
| Donchian 채널 돌파 entryN=100, exitN=85 |
3.7% | -45.5% | 0.30 | 0.08 | 2.6x | 34 | 56% |
| EMA 크로스오버 fast=27, slow=208 |
3.0% | -52.0% | 0.26 | 0.06 | 2.2x | 44 | 62% |
| SMA 크로스오버 fast=40, slow=218 |
2.8% | -46.4% | 0.24 | 0.06 | 2.1x | 38 | 60% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=4 |
0.9% | -43.2% | 0.14 | 0.02 | 1.3x | 58 | 22% |
| 볼린저 밴드 돌파 n=51, k=3.1 |
0.5% | -33.7% | 0.10 | 0.02 | 1.2x | 44 | 15% |
| ROC 모멘텀 n=143, threshold=-0.06 |
0.0% | -70.6% | 0.10 | 0.00 | 1.0x | 211 | 74% |
| Supertrend period=14, mult=3.8 |
-0.4% | -75.2% | 0.06 | -0.01 | 0.9x | 131 | 57% |
| MACD fast=18, slow=58, signal=16 |
-2.3% | -75.6% | -0.04 | -0.03 | 0.5x | 293 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.5% | -69.2% | -0.05 | -0.04 | 0.5x | 222 | 56% |
| Buy and hold | 5.1% | -82.2% | 0.24 | 0.06 | 3.8x | 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, 24-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)