Trend-Following Backtester · Guide · backtest 한국어
equity · JP
FUJI CORPORATION backtest
10 trend-following strategies were compared on the full daily history of FUJI CORPORATION. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.7%, MDD -33.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.3%, drawdown -51.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -33.6%, Sharpe 0.74, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 17.7%, MDD -33.6%, exposure 57%).
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=51, slow=284 |
17.7% | -33.6% | 0.74 | 0.53 | 8.5x | 9 | 57% |
| ROC 모멘텀 n=99, threshold=0.1 |
12.6% | -32.0% | 0.67 | 0.39 | 4.8x | 85 | 38% |
| EMA 크로스오버 fast=51, slow=216 |
14.6% | -42.6% | 0.64 | 0.34 | 5.9x | 13 | 59% |
| Donchian 채널 돌파 entryN=100, exitN=75 |
12.5% | -47.2% | 0.61 | 0.26 | 4.7x | 17 | 52% |
| ADX / DI 방향성 period=26, threshold=22 |
7.8% | -25.9% | 0.56 | 0.30 | 2.7x | 34 | 20% |
| Supertrend period=29, mult=4.5 |
9.7% | -44.3% | 0.50 | 0.22 | 3.4x | 54 | 57% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
4.9% | -22.4% | 0.48 | 0.22 | 1.9x | 6 | 9% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=25, mult=3.2 |
6.2% | -39.3% | 0.43 | 0.16 | 2.2x | 46 | 29% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.3% | -51.5% | 0.22 | 0.05 | 1.4x | 108 | 52% |
| MACD fast=7, slow=22, signal=14 |
-0.1% | -54.4% | 0.11 | -0.00 | 1.0x | 266 | 51% |
| Buy and hold | 17.3% | -51.9% | 0.64 | 0.33 | 8.1x | 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 51-day average price crosses above the 284-day average
- Sell — Sell (to cash) when the 51-day average falls below the 284-day average