Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Vend Marketplaces ASA backtest
10 trend-following strategies were compared on the full daily history of Vend Marketplaces ASA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -5.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.5%, drawdown -68.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -33.8%, Sharpe 0.47, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -34.1%, exposure 63%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 1.5%, MDD -5.5%, exposure 2%).
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=18, slow=62 |
8.8% | -33.8% | 0.47 | 0.26 | 2.6x | 48 | 53% |
| Donchian 채널 돌파 entryN=22, exitN=37 |
9.0% | -34.1% | 0.46 | 0.26 | 2.6x | 38 | 63% |
| EMA 크로스오버 fast=7, slow=211 |
7.6% | -36.4% | 0.43 | 0.21 | 2.3x | 20 | 52% |
| ADX / DI 방향성 period=27, threshold=31 |
1.5% | -5.5% | 0.40 | 0.26 | 1.2x | 4 | 2% |
| Supertrend period=10, mult=3.4 |
6.6% | -35.6% | 0.38 | 0.18 | 2.0x | 56 | 52% |
| ROC 모멘텀 n=42, threshold=-0.04 |
2.7% | -45.3% | 0.23 | 0.06 | 1.3x | 157 | 64% |
| 볼린저 밴드 돌파 n=52, k=1.3 |
1.4% | -40.3% | 0.17 | 0.03 | 1.2x | 62 | 40% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=24, mult=0.9 |
0.8% | -40.6% | 0.15 | 0.02 | 1.1x | 110 | 43% |
| MACD fast=14, slow=43, signal=14 |
-3.9% | -65.6% | -0.03 | -0.06 | 0.6x | 148 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-4.9% | -65.5% | -0.08 | -0.07 | 0.6x | 206 | 51% |
| Buy and hold | -0.5% | -68.3% | 0.17 | -0.01 | 0.9x | 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 18-day average price crosses above the 62-day average
- Sell — Sell (to cash) when the 18-day average falls below the 62-day average