Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Neste Corporation backtest
10 trend-following strategies were compared on the full daily history of Neste Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.8%, MDD -49.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -89.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.8%, MDD -49.1%, Sharpe 0.60, 57% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.9%, MDD -54.3%, exposure 56%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 12.8%, MDD -49.1%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=281 |
12.8% | -49.1% | 0.60 | 0.26 | 13.1x | 13 | 57% |
| SMA 크로스오버 fast=66, slow=203 |
12.9% | -54.3% | 0.59 | 0.24 | 13.1x | 29 | 56% |
| ADX / DI 방향성 period=13, threshold=37 |
4.9% | -30.7% | 0.46 | 0.16 | 2.8x | 54 | 11% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=16, mult=3.1 |
6.7% | -45.4% | 0.45 | 0.15 | 4.0x | 68 | 28% |
| 볼린저 밴드 돌파 n=46, k=2.1 |
7.1% | -41.1% | 0.45 | 0.17 | 4.3x | 81 | 32% |
| Supertrend period=21, mult=3.9 |
7.6% | -69.4% | 0.42 | 0.11 | 4.7x | 102 | 52% |
| Donchian 채널 돌파 entryN=117, exitN=65 |
6.9% | -61.2% | 0.41 | 0.11 | 4.2x | 27 | 45% |
| ROC 모멘텀 n=76, threshold=0.14 |
5.5% | -56.2% | 0.38 | 0.10 | 3.1x | 191 | 28% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.1% | -65.0% | 0.28 | 0.06 | 2.4x | 177 | 52% |
| MACD fast=25, slow=26, signal=17 |
0.4% | -75.2% | 0.14 | 0.01 | 1.1x | 255 | 51% |
| Buy and hold | 8.5% | -89.0% | 0.40 | 0.10 | 5.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 281-day EMA
- Sell — Sell when the 52-day EMA falls below the 281-day EMA