Trend-Following Backtester · Guide · backtest 한국어
equity · US
H. B. Fuller Company backtest
10 trend-following strategies were compared on the full daily history of H. B. Fuller Company. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -68.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.4%, MDD -65.6%, Sharpe 0.38, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=17, threshold=-0.15 |
7.4% | -65.6% | 0.38 | 0.11 | 46.3x | 225 | 96% |
| Donchian 채널 돌파 entryN=13, exitN=76 |
7.0% | -56.4% | 0.37 | 0.12 | 36.7x | 133 | 82% |
| SMA 크로스오버 fast=52, slow=195 |
3.3% | -68.6% | 0.25 | 0.05 | 5.5x | 82 | 60% |
| EMA 크로스오버 fast=46, slow=147 |
1.9% | -63.9% | 0.20 | 0.03 | 2.7x | 102 | 60% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
0.4% | -9.8% | 0.18 | 0.04 | 1.2x | 4 | 0% |
| MACD fast=19, slow=58, signal=15 |
0.7% | -69.9% | 0.15 | 0.01 | 1.5x | 604 | 51% |
| Supertrend period=5, mult=4.9 |
0.1% | -66.4% | 0.13 | 0.00 | 1.1x | 203 | 58% |
| ADX / DI 방향성 period=8, threshold=25 |
0.0% | -93.0% | 0.11 | 0.00 | 1.0x | 1068 | 40% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=32, mult=2.3 |
-1.1% | -82.5% | 0.03 | -0.01 | 0.5x | 252 | 35% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-2.3% | -99.4% | 0.03 | -0.02 | 0.3x | 1426 | 52% |
| Buy and hold | 8.2% | -68.9% | 0.40 | 0.12 | 66.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 17-day return is greater than -15%
- Sell — Sell when the 17-day return drops to -15% or below