Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Telenor ASA backtest
10 trend-following strategies were compared on the full daily history of Telenor ASA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.1%, MDD -39.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.0%, drawdown -75.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -44.6%, Sharpe 0.44, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 5.1%, MDD -39.4%, exposure 54%).
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=58, slow=264 |
6.5% | -44.6% | 0.44 | 0.15 | 5.1x | 24 | 60% |
| EMA 크로스오버 fast=28, slow=173 |
5.9% | -45.1% | 0.41 | 0.13 | 4.4x | 48 | 59% |
| Supertrend period=13, mult=5 |
5.1% | -39.4% | 0.37 | 0.13 | 3.6x | 72 | 54% |
| ADX / DI 방향성 period=35, threshold=23 |
1.9% | -21.7% | 0.31 | 0.09 | 1.6x | 22 | 8% |
| ROC 모멘텀 n=131, threshold=-0.1 |
4.1% | -62.5% | 0.29 | 0.07 | 2.8x | 143 | 81% |
| Donchian 채널 돌파 entryN=109, exitN=71 |
3.2% | -44.1% | 0.27 | 0.07 | 2.2x | 38 | 48% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
1.2% | -24.1% | 0.21 | 0.05 | 1.4x | 22 | 10% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=9, mult=4 |
0.8% | -23.0% | 0.17 | 0.03 | 1.2x | 18 | 5% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.6% | -66.8% | 0.06 | -0.01 | 0.9x | 224 | 52% |
| MACD fast=16, slow=54, signal=19 |
-1.2% | -72.7% | 0.03 | -0.02 | 0.7x | 300 | 50% |
| Buy and hold | 5.0% | -75.6% | 0.31 | 0.07 | 3.5x | 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 58-day average price crosses above the 264-day average
- Sell — Sell (to cash) when the 58-day average falls below the 264-day average