Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Metso Corporation backtest
10 trend-following strategies were compared on the full daily history of Metso Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.8%, MDD -50.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.0%, drawdown -84.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.5%, MDD -52.4%, Sharpe 0.64, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.0%, MDD -56.2%, exposure 79%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 9.8%, MDD -50.6%, exposure 60%).
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=51, slow=65 |
16.5% | -52.4% | 0.64 | 0.32 | 21.0x | 95 | 60% |
| Donchian 채널 돌파 entryN=17, exitN=62 |
17.0% | -56.2% | 0.61 | 0.30 | 22.8x | 49 | 79% |
| EMA 크로스오버 fast=54, slow=66 |
9.8% | -50.6% | 0.46 | 0.19 | 6.4x | 49 | 60% |
| ROC 모멘텀 n=110, threshold=0.04 |
7.2% | -53.6% | 0.39 | 0.13 | 4.0x | 183 | 53% |
| Supertrend period=24, mult=4.9 |
6.5% | -67.7% | 0.37 | 0.10 | 3.5x | 73 | 55% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
4.5% | -47.1% | 0.31 | 0.10 | 2.4x | 63 | 32% |
| ADX / DI 방향성 period=19, threshold=35 |
2.2% | -20.5% | 0.30 | 0.11 | 1.5x | 20 | 5% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=2.2 |
2.7% | -57.0% | 0.23 | 0.05 | 1.7x | 105 | 40% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.2% | -77.6% | 0.22 | 0.03 | 1.5x | 347 | 52% |
| MACD fast=18, slow=22, signal=8 |
-0.1% | -83.5% | 0.16 | -0.00 | 1.0x | 373 | 51% |
| Buy and hold | 9.0% | -84.0% | 0.42 | 0.11 | 5.5x | 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 51-day average price crosses above the 65-day average
- Sell — Sell (to cash) when the 51-day average falls below the 65-day average