Trend-Following Backtester · Guide · backtest 한국어
equity · JP
FUJI OIL CO. LTD. backtest
10 trend-following strategies were compared on the full daily history of FUJI OIL CO. LTD.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -57.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -64.2%, Sharpe 0.24, 88% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=108 |
2.8% | -64.2% | 0.24 | 0.04 | 2.1x | 67 | 88% |
| SMA 크로스오버 fast=50, slow=165 |
2.6% | -41.4% | 0.23 | 0.06 | 1.9x | 45 | 53% |
| EMA 크로스오버 fast=61, slow=209 |
2.3% | -50.6% | 0.21 | 0.04 | 1.8x | 35 | 55% |
| 볼린저 밴드 돌파 n=43, k=3.3 |
0.4% | -27.1% | 0.09 | 0.01 | 1.1x | 24 | 7% |
| MACD fast=15, slow=25, signal=21 |
-0.6% | -65.5% | 0.07 | -0.01 | 0.9x | 324 | 51% |
| ADX / DI 방향성 period=39, threshold=24 |
-0.1% | -21.2% | 0.01 | -0.00 | 1.0x | 14 | 2% |
| ROC 모멘텀 n=136, threshold=-0.03 |
-2.9% | -75.0% | -0.02 | -0.04 | 0.5x | 215 | 59% |
| Supertrend period=8, mult=3 |
-2.5% | -76.7% | -0.02 | -0.03 | 0.5x | 202 | 50% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=14, mult=4 |
-0.6% | -33.0% | -0.08 | -0.02 | 0.8x | 22 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.5% | -84.5% | -0.17 | -0.06 | 0.2x | 217 | 52% |
| Buy and hold | 5.8% | -57.5% | 0.34 | 0.10 | 4.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 108 days