Trend-Following Backtester · Guide · backtest 한국어
equity · NO
TOMRA Systems ASA backtest
10 trend-following strategies were compared on the full daily history of TOMRA Systems ASA. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.0%, MDD -58.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.3%, drawdown -89.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -58.2%, Sharpe 0.31, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 5.0%, MDD -58.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=99, exitN=79 |
5.0% | -58.2% | 0.31 | 0.09 | 3.7x | 32 | 53% |
| SMA 크로스오버 fast=43, slow=158 |
4.8% | -60.4% | 0.31 | 0.08 | 3.5x | 40 | 55% |
| EMA 크로스오버 fast=53, slow=149 |
4.4% | -65.3% | 0.29 | 0.07 | 3.1x | 32 | 58% |
| ADX / DI 방향성 period=28, threshold=29 |
1.1% | -20.2% | 0.18 | 0.05 | 1.3x | 20 | 4% |
| ROC 모멘텀 n=128, threshold=0.04 |
1.2% | -72.4% | 0.18 | 0.02 | 1.4x | 226 | 50% |
| 볼린저 밴드 돌파 n=63, k=2 |
0.7% | -54.2% | 0.13 | 0.01 | 1.2x | 91 | 33% |
| Supertrend period=28, mult=3.6 |
-3.9% | -90.1% | 0.02 | -0.04 | 0.4x | 137 | 57% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-5.4% | -87.8% | -0.03 | -0.06 | 0.2x | 535 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.1 |
-2.5% | -61.4% | -0.04 | -0.04 | 0.5x | 84 | 29% |
| MACD fast=17, slow=59, signal=16 |
-7.2% | -91.4% | -0.10 | -0.08 | 0.1x | 311 | 50% |
| Buy and hold | 4.3% | -89.6% | 0.32 | 0.05 | 3.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 99 days
- Sell — Sell when price breaks below the lowest low of the last 79 days