Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Wilh. Wilhelmsen Holding ASA Class A backtest
10 trend-following strategies were compared on the full daily history of Wilh. Wilhelmsen Holding ASA Class A. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.2%, MDD -37.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -75.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.2%, MDD -37.0%, Sharpe 0.64, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 13.2%, MDD -37.0%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=28, slow=183 |
13.2% | -37.0% | 0.64 | 0.36 | 27.2x | 35 | 63% |
| SMA 크로스오버 fast=51, slow=93 |
12.3% | -54.4% | 0.61 | 0.23 | 22.2x | 63 | 57% |
| Supertrend period=7, mult=5 |
9.5% | -52.8% | 0.51 | 0.18 | 11.4x | 67 | 56% |
| 볼린저 밴드 돌파 n=74, k=2.8 |
6.5% | -37.0% | 0.47 | 0.18 | 5.4x | 54 | 31% |
| Donchian 채널 돌파 entryN=41, exitN=79 |
8.9% | -55.2% | 0.45 | 0.16 | 9.7x | 47 | 72% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=2.6 |
4.9% | -46.1% | 0.37 | 0.11 | 3.6x | 101 | 32% |
| ROC 모멘텀 n=142, threshold=-0.02 |
6.1% | -53.5% | 0.37 | 0.11 | 4.8x | 195 | 63% |
| MACD fast=41, slow=109, signal=31 |
5.3% | -67.3% | 0.34 | 0.08 | 4.0x | 137 | 51% |
| ADX / DI 방향성 period=27, threshold=33 |
1.3% | -23.4% | 0.30 | 0.06 | 1.4x | 12 | 3% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.8% | -61.9% | 0.28 | 0.06 | 2.7x | 203 | 54% |
| Buy and hold | 10.9% | -75.1% | 0.47 | 0.15 | 15.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 183-day EMA
- Sell — Sell when the 28-day EMA falls below the 183-day EMA