Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Aker BP ASA backtest
10 trend-following strategies were compared on the full daily history of Aker BP ASA. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.9%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.7%, drawdown -73.7%).
Sharpe leader (same as main): MACD — CAGR 14.2%, MDD -60.8%, Sharpe 0.57, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 12.9%p (CAGR 12.9%, MDD -46.7%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=27, signal=23 |
14.2% | -60.8% | 0.57 | 0.23 | 10.2x | 213 | 50% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
12.9% | -46.7% | 0.56 | 0.28 | 8.5x | 90 | 40% |
| Supertrend period=9, mult=3.6 |
13.5% | -58.9% | 0.55 | 0.23 | 9.2x | 97 | 53% |
| EMA 크로스오버 fast=24, slow=38 |
12.0% | -59.4% | 0.52 | 0.20 | 7.3x | 89 | 54% |
| ROC 모멘텀 n=200, threshold=-0.02 |
11.4% | -54.8% | 0.49 | 0.21 | 6.6x | 113 | 57% |
| Donchian 채널 돌파 entryN=34, exitN=25 |
10.3% | -56.4% | 0.48 | 0.18 | 5.6x | 76 | 49% |
| ADX / DI 방향성 period=25, threshold=11 |
10.5% | -71.2% | 0.47 | 0.15 | 5.7x | 227 | 47% |
| SMA 크로스오버 fast=17, slow=57 |
10.1% | -56.9% | 0.46 | 0.18 | 5.4x | 82 | 53% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=1.5 |
9.3% | -50.4% | 0.45 | 0.18 | 4.7x | 143 | 35% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.1% | -61.8% | 0.37 | 0.12 | 3.4x | 155 | 53% |
| Buy and hold | 16.7% | -73.7% | 0.57 | 0.23 | 14.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/27) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line