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 23.4%, MDD -19.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.8%, drawdown -53.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.4%, MDD -19.3%, Sharpe 1.04, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 23.4%, MDD -19.3%, exposure 61%).
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 |
23.4% | -19.3% | 1.04 | 1.21 | 3.0x | 9 | 61% |
| ROC 모멘텀 n=103, threshold=0.04 |
22.4% | -26.3% | 1.00 | 0.85 | 2.8x | 29 | 58% |
| EMA 크로스오버 fast=49, slow=144 |
19.4% | -19.8% | 0.92 | 0.98 | 2.5x | 7 | 61% |
| Supertrend period=17, mult=4 |
14.2% | -33.8% | 0.70 | 0.42 | 2.0x | 19 | 65% |
| Donchian 채널 돌파 entryN=67, exitN=33 |
13.4% | -26.2% | 0.68 | 0.51 | 1.9x | 11 | 58% |
| ADX / DI 방향성 period=37, threshold=9 |
12.4% | -23.6% | 0.63 | 0.53 | 1.8x | 51 | 63% |
| 볼린저 밴드 돌파 n=75, k=1.6 |
10.5% | -21.5% | 0.60 | 0.49 | 1.7x | 17 | 52% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=2.1 |
4.1% | -16.1% | 0.40 | 0.25 | 1.2x | 22 | 13% |
| Parabolic SAR step=0.025, maxStep=0.18 |
2.3% | -39.7% | 0.21 | 0.06 | 1.1x | 123 | 55% |
| MACD fast=15, slow=23, signal=18 |
-2.7% | -51.1% | -0.02 | -0.05 | 0.9x | 72 | 48% |
| Buy and hold | 17.8% | -53.2% | 0.68 | 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