Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fanuc Corporation backtest
10 trend-following strategies were compared on the full daily history of Fanuc Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.5%, drawdown -68.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -62.4%, Sharpe 0.21, 56% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=102 |
2.2% | -62.4% | 0.21 | 0.03 | 1.8x | 74 | 56% |
| ADX / DI 방향성 period=36, threshold=21 |
1.2% | -29.2% | 0.18 | 0.04 | 1.4x | 20 | 7% |
| EMA 크로스오버 fast=68, slow=217 |
0.8% | -70.1% | 0.15 | 0.01 | 1.2x | 33 | 56% |
| Donchian 채널 돌파 entryN=31, exitN=75 |
-0.9% | -64.2% | 0.11 | -0.01 | 0.8x | 69 | 69% |
| ROC 모멘텀 n=153, threshold=-0.04 |
-3.8% | -76.3% | -0.02 | -0.05 | 0.4x | 260 | 63% |
| Supertrend period=21, mult=4.9 |
-4.3% | -81.0% | -0.05 | -0.05 | 0.3x | 106 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=3.4 |
-2.3% | -63.6% | -0.06 | -0.04 | 0.5x | 90 | 26% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
-4.9% | -82.4% | -0.14 | -0.06 | 0.3x | 164 | 39% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-6.7% | -92.4% | -0.15 | -0.07 | 0.2x | 226 | 51% |
| MACD fast=30, slow=48, signal=19 |
-7.9% | -94.6% | -0.20 | -0.08 | 0.1x | 258 | 50% |
| Buy and hold | 3.5% | -68.7% | 0.28 | 0.05 | 2.5x | 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 58-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 58-day average falls below the 102-day average