Trend-Following Backtester · Guide · backtest 한국어

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Wallenius Wilhelmsen ASA backtest

10 trend-following strategies were compared on the full daily history of Wallenius Wilhelmsen ASA. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.0%, MDD -41.6%).

Data 2010-06-24 ~ 2026-07-31daily bars 4,045 (16.1 years)Costs 0.5%Venue OSLMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 16.9%, drawdown -88.1%).

Sharpe leader (same as main): Supertrend — CAGR 19.9%, MDD -47.2%, Sharpe 0.78, 52% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 18.0%, MDD -41.6%, exposure 44%).

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
Supertrend
period=28, mult=3.7
19.9%-47.2%0.780.4218.6x6952%
ROC 모멘텀
n=72, threshold=0.07
18.0%-41.6%0.760.4314.4x15144%
Donchian 채널 돌파
entryN=53, exitN=54
15.7%-47.8%0.640.3310.5x3157%
EMA 크로스오버
fast=24, slow=75
14.8%-51.1%0.630.299.2x4755%
Keltner 채널 돌파
emaPeriod=77, atrPeriod=28, mult=1.8
13.5%-41.5%0.620.337.7x6745%
Parabolic SAR
step=0.01, maxStep=0.14
13.7%-59.5%0.590.237.9x20151%
SMA 크로스오버
fast=9, slow=85
13.6%-40.4%0.590.347.8x6956%
MACD
fast=18, slow=29, signal=12
13.1%-57.7%0.560.237.3x19750%
ADX / DI 방향성
period=38, threshold=4
12.9%-55.1%0.540.237.1x19358%
볼린저 밴드 돌파
n=47, k=1.9
5.8%-39.4%0.360.152.5x8537%
Buy and hold16.9%-88.1%0.590.1912.3x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdSupertrend
Supertrend maximum drawdown -47.2% (2013-02-13 → 2016-01-12), recovered after 1,420 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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