Trend-Following Backtester · Guide · backtest 한국어

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Sparebank 1 Ostlandet backtest

10 trend-following strategies were compared on the full daily history of Sparebank 1 Ostlandet. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.

Data 2017-06-13 ~ 2026-07-31daily bars 2,292 (9.1 years)Costs 0.5%Venue OSLMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 10.4%, drawdown -31.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.7%, MDD -31.2%, Sharpe 0.71, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 99%
n=5, threshold=-0.09
12.7%-31.2%0.710.413.0x799%
SMA 크로스오버
fast=58, slow=206
7.2%-30.6%0.520.241.9x1257%
Donchian 채널 돌파
entryN=99, exitN=33
4.9%-18.4%0.430.271.6x1647%
볼린저 밴드 돌파
n=68, k=1.7
4.7%-25.1%0.430.191.5x3045%
Supertrend
period=20, mult=4.8
4.5%-33.9%0.370.131.5x2263%
ADX / DI 방향성
period=39, threshold=13
3.8%-27.5%0.360.141.4x4243%
EMA 크로스오버
fast=42, slow=52
4.1%-38.0%0.340.111.4x2464%
Parabolic SAR
step=0.005, maxStep=0.2
2.5%-23.0%0.240.111.2x7252%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=7, mult=2.1
-0.5%-35.0%0.03-0.011.0x4842%
MACD
fast=18, slow=50, signal=18
-5.6%-53.7%-0.36-0.100.6x11947%
Buy and hold10.4%-31.2%0.600.332.5x1100%
1x 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -8% -16% -23% -31% 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -31.2% (2022-02-07 → 2022-10-07), recovered after 996 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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