Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fuji Electric Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fuji Electric Co., Ltd.. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.2%, MDD -36.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.6%, drawdown -88.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.5%, MDD -26.1%, Sharpe 0.51, 9% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.0%, MDD -53.1%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 62.3%p (CAGR 7.2%, MDD -36.2%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=3.6 |
5.5% | -26.1% | 0.51 | 0.21 | 4.1x | 38 | 9% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
4.1% | -27.8% | 0.49 | 0.15 | 2.9x | 16 | 7% |
| Donchian 채널 돌파 entryN=78, exitN=11 |
7.2% | -36.2% | 0.49 | 0.20 | 6.3x | 96 | 24% |
| ADX / DI 방향성 period=27, threshold=29 |
3.8% | -20.9% | 0.44 | 0.18 | 2.7x | 16 | 7% |
| EMA 크로스오버 fast=16, slow=356 |
8.0% | -53.1% | 0.43 | 0.15 | 7.7x | 35 | 58% |
| ROC 모멘텀 n=98, threshold=0.06 |
7.1% | -46.3% | 0.40 | 0.15 | 6.2x | 199 | 44% |
| Supertrend period=27, mult=4.8 |
7.0% | -55.9% | 0.39 | 0.13 | 6.1x | 100 | 53% |
| SMA 크로스오버 fast=10, slow=89 |
6.2% | -49.3% | 0.36 | 0.13 | 4.9x | 114 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.2% | -62.0% | 0.17 | 0.02 | 1.4x | 216 | 52% |
| MACD fast=11, slow=43, signal=7 |
-4.7% | -91.4% | -0.04 | -0.05 | 0.3x | 528 | 51% |
| Buy and hold | 6.6% | -88.4% | 0.36 | 0.07 | 5.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average