Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fukuda Denshi Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fukuda Denshi Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -35.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -63.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -35.2%, Sharpe 0.55, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 10.2%, MDD -35.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=86 |
10.2% | -35.2% | 0.55 | 0.29 | 13.5x | 77 | 54% |
| EMA 크로스오버 fast=64, slow=109 |
7.7% | -54.2% | 0.44 | 0.14 | 7.3x | 37 | 60% |
| Donchian 채널 돌파 entryN=81, exitN=56 |
6.9% | -45.9% | 0.42 | 0.15 | 5.9x | 43 | 49% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
3.8% | -30.9% | 0.33 | 0.12 | 2.7x | 68 | 18% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=29, mult=3.2 |
3.4% | -28.0% | 0.30 | 0.12 | 2.4x | 80 | 19% |
| ROC 모멘텀 n=144, threshold=-0.01 |
3.7% | -53.7% | 0.28 | 0.07 | 2.7x | 189 | 60% |
| Supertrend period=28, mult=4.6 |
3.5% | -60.7% | 0.26 | 0.06 | 2.5x | 93 | 46% |
| ADX / DI 방향성 period=33, threshold=16 |
1.9% | -41.5% | 0.20 | 0.05 | 1.6x | 120 | 25% |
| Parabolic SAR step=0.01, maxStep=0.06 |
1.2% | -69.6% | 0.17 | 0.02 | 1.4x | 275 | 53% |
| MACD fast=26, slow=41, signal=29 |
-0.4% | -67.7% | 0.09 | -0.01 | 0.9x | 240 | 50% |
| Buy and hold | 9.9% | -63.0% | 0.46 | 0.16 | 12.5x | 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 47-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 47-day average falls below the 86-day average