Trend-Following Backtester · Guide · backtest 한국어
equity · US
FuelCell Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of FuelCell Energy, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -16.0%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -91.8%, Sharpe 0.44, 38% 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=68, slow=211 |
10.1% | -91.8% | 0.44 | 0.11 | 26.7x | 35 | 38% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=25, mult=2 |
7.4% | -95.9% | 0.38 | 0.08 | 11.6x | 202 | 19% |
| 볼린저 밴드 돌파 n=43, k=2.4 |
7.2% | -96.1% | 0.37 | 0.08 | 10.9x | 130 | 22% |
| Donchian 채널 돌파 entryN=115, exitN=62 |
4.9% | -95.6% | 0.34 | 0.05 | 5.1x | 41 | 33% |
| ROC 모멘텀 n=102, threshold=0.08 |
4.3% | -97.9% | 0.34 | 0.04 | 4.2x | 355 | 34% |
| EMA 크로스오버 fast=45, slow=67 |
2.1% | -93.6% | 0.30 | 0.02 | 2.0x | 77 | 39% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-2.6% | -99.7% | 0.26 | -0.03 | 0.4x | 920 | 43% |
| MACD fast=17, slow=49, signal=19 |
-8.2% | -100.0% | 0.22 | -0.08 | 0.1x | 354 | 53% |
| ADX / DI 방향성 period=28, threshold=20 |
0.3% | -88.1% | 0.21 | 0.00 | 1.1x | 114 | 16% |
| Supertrend period=8, mult=4.4 |
-6.7% | -99.5% | 0.20 | -0.07 | 0.1x | 143 | 51% |
| Buy and hold | -16.0% | -100.0% | 0.24 | -0.16 | 0.0x | 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 68-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 68-day average falls below the 211-day average