Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fukuoka Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fukuoka Financial Group, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -75.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.1%, MDD -24.5%, Sharpe 0.26, 10% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.9 |
2.1% | -24.5% | 0.26 | 0.09 | 1.7x | 42 | 10% |
| Donchian 채널 돌파 entryN=11, exitN=59 |
1.3% | -83.5% | 0.19 | 0.02 | 1.4x | 93 | 85% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=14, mult=4 |
1.2% | -34.5% | 0.19 | 0.04 | 1.4x | 28 | 6% |
| EMA 크로스오버 fast=34, slow=174 |
1.6% | -59.7% | 0.19 | 0.03 | 1.5x | 51 | 56% |
| ADX / DI 방향성 period=19, threshold=35 |
1.0% | -28.6% | 0.17 | 0.03 | 1.3x | 24 | 4% |
| SMA 크로스오버 fast=27, slow=174 |
1.2% | -57.9% | 0.17 | 0.02 | 1.4x | 57 | 56% |
| ROC 모멘텀 n=120, threshold=-0.01 |
-1.3% | -69.4% | 0.06 | -0.02 | 0.7x | 251 | 59% |
| Supertrend period=12, mult=3.8 |
-3.3% | -83.9% | -0.02 | -0.04 | 0.4x | 149 | 55% |
| MACD fast=17, slow=41, signal=10 |
-3.5% | -82.5% | -0.03 | -0.04 | 0.4x | 378 | 52% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-5.9% | -89.1% | -0.15 | -0.07 | 0.2x | 343 | 52% |
| Buy and hold | 4.7% | -75.5% | 0.31 | 0.06 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 25-day middle average