Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fujikura Ltd backtest
10 trend-following strategies were compared on the full daily history of Fujikura Ltd. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 23.3%, MDD -52.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.2%, drawdown -86.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.3%, MDD -52.6%, Sharpe 0.77, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 23.3%, MDD -52.6%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=186, threshold=0.02 |
23.3% | -52.6% | 0.77 | 0.44 | 264.6x | 103 | 54% |
| EMA 크로스오버 fast=42, slow=206 |
22.0% | -52.6% | 0.74 | 0.42 | 201.8x | 21 | 55% |
| SMA 크로스오버 fast=7, slow=216 |
20.4% | -52.6% | 0.71 | 0.39 | 141.8x | 63 | 53% |
| Donchian 채널 돌파 entryN=109, exitN=36 |
15.5% | -52.4% | 0.64 | 0.30 | 47.0x | 48 | 35% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=3.8 |
12.9% | -45.7% | 0.62 | 0.28 | 25.4x | 76 | 27% |
| ADX / DI 방향성 period=14, threshold=43 |
5.1% | -17.2% | 0.60 | 0.30 | 3.7x | 26 | 4% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
10.9% | -46.0% | 0.59 | 0.24 | 15.9x | 50 | 21% |
| Supertrend period=28, mult=4.7 |
9.4% | -83.7% | 0.44 | 0.11 | 11.0x | 119 | 52% |
| MACD fast=18, slow=42, signal=16 |
5.7% | -74.2% | 0.33 | 0.08 | 4.4x | 315 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.0% | -82.2% | 0.31 | 0.06 | 3.7x | 436 | 52% |
| Buy and hold | 18.2% | -86.0% | 0.59 | 0.21 | 86.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 186-day return is greater than 2%
- Sell — Sell when the 186-day return drops to 2% or below