Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Kemira Oyj backtest
10 trend-following strategies were compared on the full daily history of Kemira Oyj. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -77.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -69.2%, Sharpe 0.37, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.11 |
6.9% | -69.2% | 0.37 | 0.10 | 5.9x | 49 | 99% |
| 볼린저 밴드 돌파 n=44, k=3 |
2.8% | -30.4% | 0.30 | 0.09 | 2.1x | 38 | 14% |
| SMA 크로스오버 fast=78, slow=255 |
3.9% | -50.3% | 0.28 | 0.08 | 2.8x | 34 | 56% |
| Donchian 채널 돌파 entryN=31, exitN=102 |
3.8% | -52.2% | 0.27 | 0.07 | 2.7x | 52 | 77% |
| EMA 크로스오버 fast=33, slow=131 |
1.1% | -63.6% | 0.16 | 0.02 | 1.3x | 60 | 57% |
| ADX / DI 방향성 period=44, threshold=28 |
0.4% | -7.1% | 0.15 | 0.05 | 1.1x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=11, mult=3.8 |
0.0% | -34.8% | 0.05 | 0.00 | 1.0x | 44 | 10% |
| Supertrend period=10, mult=4.1 |
-3.3% | -76.8% | -0.05 | -0.04 | 0.4x | 128 | 49% |
| MACD fast=15, slow=27, signal=12 |
-3.3% | -74.8% | -0.05 | -0.04 | 0.4x | 415 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-7.0% | -86.7% | -0.22 | -0.08 | 0.1x | 425 | 50% |
| Buy and hold | 5.8% | -77.6% | 0.34 | 0.08 | 4.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -11%
- Sell — Sell when the 4-day return drops to -11% or below