Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Nordnet AB backtest
10 trend-following strategies were compared on the full daily history of Nordnet AB. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.8%, drawdown -42.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.6%, MDD -7.6%, Sharpe 0.64, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -35.2%, exposure 65%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=18, threshold=38 |
3.6% | -7.6% | 0.64 | 0.47 | 1.2x | 4 | 3% |
| SMA 크로스오버 fast=58, slow=186 |
13.3% | -35.2% | 0.64 | 0.38 | 2.1x | 7 | 65% |
| ROC 모멘텀 n=185, threshold=-0.12 |
12.1% | -39.0% | 0.54 | 0.31 | 1.9x | 23 | 80% |
| EMA 크로스오버 fast=54, slow=165 |
9.8% | -48.1% | 0.50 | 0.20 | 1.7x | 7 | 70% |
| Donchian 채널 돌파 entryN=105, exitN=61 |
5.5% | -28.4% | 0.35 | 0.19 | 1.4x | 9 | 54% |
| Supertrend period=13, mult=4.2 |
5.1% | -32.9% | 0.33 | 0.15 | 1.3x | 27 | 56% |
| MACD fast=14, slow=35, signal=6 |
3.9% | -38.9% | 0.28 | 0.10 | 1.2x | 103 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
0.9% | -48.4% | 0.16 | 0.02 | 1.1x | 105 | 52% |
| 볼린저 밴드 돌파 n=33, k=0.8 |
-0.0% | -37.9% | 0.11 | -0.00 | 1.0x | 65 | 47% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=26, mult=1.4 |
-0.5% | -33.0% | 0.08 | -0.01 | 1.0x | 52 | 43% |
| Buy and hold | 23.8% | -42.8% | 0.79 | 0.56 | 3.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 18-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)