Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Puuilo Oyj backtest
10 trend-following strategies were compared on the full daily history of Puuilo 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 23.9%, MDD -19.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.2%, drawdown -53.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.9%, MDD -19.3%, Sharpe 1.06, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 23.9%, MDD -19.3%, 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=43, slow=111 |
23.9% | -19.3% | 1.06 | 1.24 | 3.0x | 9 | 60% |
| ROC 모멘텀 n=103, threshold=0.04 |
22.8% | -26.3% | 1.01 | 0.87 | 2.9x | 29 | 58% |
| EMA 크로스오버 fast=49, slow=144 |
19.8% | -19.8% | 0.93 | 1.00 | 2.5x | 7 | 61% |
| Supertrend period=17, mult=4 |
14.5% | -33.8% | 0.71 | 0.43 | 2.0x | 19 | 64% |
| Donchian 채널 돌파 entryN=67, exitN=33 |
13.7% | -26.2% | 0.69 | 0.52 | 1.9x | 11 | 57% |
| ADX / DI 방향성 period=37, threshold=9 |
12.7% | -23.6% | 0.64 | 0.54 | 1.8x | 51 | 63% |
| 볼린저 밴드 돌파 n=75, k=1.6 |
10.7% | -21.5% | 0.61 | 0.50 | 1.7x | 17 | 51% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=2.1 |
4.1% | -16.1% | 0.40 | 0.26 | 1.2x | 22 | 13% |
| Parabolic SAR step=0.025, maxStep=0.18 |
2.8% | -39.7% | 0.24 | 0.07 | 1.2x | 121 | 56% |
| MACD fast=15, slow=23, signal=18 |
-2.8% | -51.1% | -0.02 | -0.05 | 0.9x | 72 | 48% |
| Buy and hold | 18.2% | -53.2% | 0.69 | 0.34 | 2.3x | 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 43-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 43-day average falls below the 111-day average