Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Fortis Inc. backtest
10 trend-following strategies were compared on the full daily history of Fortis Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -28.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -41.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -28.3%, Sharpe 0.55, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 13.2%p (CAGR 6.8%, MDD -28.3%, exposure 68%).
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=52, slow=192 |
6.8% | -28.3% | 0.55 | 0.24 | 8.0x | 39 | 68% |
| EMA 크로스오버 fast=39, slow=342 |
6.7% | -28.3% | 0.51 | 0.24 | 7.8x | 17 | 75% |
| Donchian 채널 돌파 entryN=94, exitN=53 |
5.0% | -28.5% | 0.48 | 0.18 | 4.7x | 47 | 57% |
| ROC 모멘텀 n=149, threshold=0 |
1.7% | -59.4% | 0.20 | 0.03 | 1.7x | 241 | 69% |
| Supertrend period=15, mult=4.8 |
0.8% | -63.3% | 0.13 | 0.01 | 1.3x | 99 | 61% |
| ADX / DI 방향성 period=32, threshold=24 |
0.4% | -13.1% | 0.10 | 0.03 | 1.1x | 36 | 6% |
| 볼린저 밴드 돌파 n=20, k=2.9 |
0.1% | -18.7% | 0.05 | 0.01 | 1.0x | 78 | 10% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=14, mult=3.9 |
-0.2% | -34.2% | 0.00 | -0.01 | 0.9x | 72 | 20% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.7% | -67.3% | -0.07 | -0.02 | 0.6x | 260 | 58% |
| MACD fast=31, slow=63, signal=25 |
-2.8% | -71.8% | -0.18 | -0.04 | 0.4x | 277 | 50% |
| Buy and hold | 8.3% | -41.5% | 0.53 | 0.20 | 12.4x | 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 52-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 52-day average falls below the 192-day average