Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Wartsila Oyj Abp backtest
10 trend-following strategies were compared on the full daily history of Wartsila Oyj Abp. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.5%, MDD -45.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.2%, drawdown -74.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.5%, MDD -45.4%, Sharpe 0.71, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 15.5%, MDD -45.4%, 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=57, slow=229 |
15.5% | -45.4% | 0.71 | 0.34 | 45.6x | 27 | 60% |
| ROC 모멘텀 n=134, threshold=-0.01 |
12.7% | -48.2% | 0.60 | 0.26 | 24.0x | 184 | 61% |
| Donchian 채널 돌파 entryN=106, exitN=74 |
11.6% | -46.1% | 0.59 | 0.25 | 18.4x | 30 | 54% |
| EMA 크로스오버 fast=65, slow=162 |
12.0% | -48.4% | 0.58 | 0.25 | 20.4x | 27 | 61% |
| ADX / DI 방향성 period=39, threshold=10 |
5.3% | -56.3% | 0.35 | 0.09 | 3.9x | 240 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=15, mult=4 |
3.3% | -37.7% | 0.31 | 0.09 | 2.4x | 64 | 21% |
| Supertrend period=27, mult=4.9 |
3.8% | -68.8% | 0.28 | 0.06 | 2.7x | 98 | 53% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
1.9% | -57.5% | 0.19 | 0.03 | 1.6x | 140 | 42% |
| MACD fast=18, slow=54, signal=19 |
1.1% | -78.2% | 0.17 | 0.01 | 1.3x | 276 | 52% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-0.5% | -82.8% | 0.10 | -0.01 | 0.9x | 352 | 53% |
| Buy and hold | 10.2% | -74.6% | 0.45 | 0.14 | 13.1x | 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 57-day average price crosses above the 229-day average
- Sell — Sell (to cash) when the 57-day average falls below the 229-day average