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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.6%, drawdown -42.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -35.2%, Sharpe 0.66, 64% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=186 |
13.9% | -35.2% | 0.66 | 0.39 | 2.1x | 7 | 64% |
| ADX / DI 방향성 period=18, threshold=38 |
3.7% | -7.6% | 0.65 | 0.48 | 1.2x | 4 | 3% |
| ROC 모멘텀 n=185, threshold=-0.12 |
12.7% | -39.0% | 0.56 | 0.33 | 2.0x | 23 | 79% |
| EMA 크로스오버 fast=54, slow=165 |
10.4% | -48.1% | 0.51 | 0.22 | 1.7x | 7 | 69% |
| Donchian 채널 돌파 entryN=105, exitN=61 |
5.9% | -28.4% | 0.37 | 0.21 | 1.4x | 9 | 53% |
| Supertrend period=13, mult=4.2 |
5.5% | -32.9% | 0.35 | 0.17 | 1.4x | 27 | 55% |
| MACD fast=14, slow=35, signal=6 |
5.5% | -38.9% | 0.34 | 0.14 | 1.4x | 98 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
1.3% | -48.4% | 0.18 | 0.03 | 1.1x | 104 | 52% |
| 볼린저 밴드 돌파 n=33, k=0.8 |
0.8% | -37.9% | 0.15 | 0.02 | 1.0x | 62 | 48% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=26, mult=1.4 |
0.1% | -33.0% | 0.11 | 0.00 | 1.0x | 51 | 44% |
| Buy and hold | 24.6% | -42.8% | 0.81 | 0.58 | 3.5x | 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 58-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 58-day average falls below the 186-day average