Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Konecranes Oyj backtest
10 trend-following strategies were compared on the full daily history of Konecranes Oyj. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.4%, MDD -45.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.3%, drawdown -70.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -45.1%, Sharpe 0.51, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 10.4%, MDD -45.1%, exposure 59%).
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=47, slow=79 |
10.4% | -45.1% | 0.51 | 0.23 | 13.9x | 84 | 59% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
10.0% | -58.9% | 0.46 | 0.17 | 12.7x | 73 | 85% |
| EMA 크로스오버 fast=27, slow=161 |
8.3% | -48.4% | 0.44 | 0.17 | 8.4x | 46 | 61% |
| ROC 모멘텀 n=122, threshold=0.01 |
6.7% | -50.3% | 0.38 | 0.13 | 5.6x | 182 | 58% |
| Supertrend period=10, mult=5 |
4.9% | -60.5% | 0.31 | 0.08 | 3.6x | 94 | 56% |
| 볼린저 밴드 돌파 n=34, k=2.7 |
2.7% | -52.1% | 0.24 | 0.05 | 2.0x | 92 | 24% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=26, mult=2.5 |
1.8% | -62.3% | 0.19 | 0.03 | 1.6x | 126 | 35% |
| ADX / DI 방향성 period=24, threshold=21 |
1.7% | -46.7% | 0.19 | 0.04 | 1.6x | 116 | 20% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.5% | -77.6% | 0.03 | -0.03 | 0.5x | 446 | 51% |
| MACD fast=13, slow=35, signal=7 |
-3.8% | -84.8% | -0.02 | -0.05 | 0.4x | 534 | 50% |
| Buy and hold | 8.3% | -70.9% | 0.40 | 0.12 | 8.3x | 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 47-day average price crosses above the 79-day average
- Sell — Sell (to cash) when the 47-day average falls below the 79-day average