Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Fortum Oyj backtest
10 trend-following strategies were compared on the full daily history of Fortum Oyj. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.8%, MDD -49.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -71.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -49.4%, Sharpe 0.47, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 7.8%, MDD -49.4%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=63, slow=156 |
7.8% | -49.4% | 0.47 | 0.16 | 7.4x | 27 | 66% |
| ROC 모멘텀 n=133, threshold=-0.04 |
6.9% | -52.1% | 0.42 | 0.13 | 5.9x | 161 | 73% |
| SMA 크로스오버 fast=38, slow=123 |
6.3% | -52.7% | 0.41 | 0.12 | 5.1x | 54 | 62% |
| Donchian 채널 돌파 entryN=118, exitN=76 |
6.1% | -53.6% | 0.40 | 0.11 | 4.9x | 31 | 60% |
| Supertrend period=10, mult=4.8 |
5.1% | -55.3% | 0.36 | 0.09 | 3.8x | 76 | 56% |
| 볼린저 밴드 돌파 n=74, k=2.7 |
2.7% | -40.0% | 0.28 | 0.07 | 2.0x | 54 | 27% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=11, mult=1.7 |
2.0% | -61.0% | 0.20 | 0.03 | 1.7x | 128 | 50% |
| ADX / DI 방향성 period=16, threshold=40 |
0.6% | -10.9% | 0.17 | 0.06 | 1.2x | 22 | 3% |
| Parabolic SAR step=0.01, maxStep=0.04 |
-1.5% | -79.7% | 0.03 | -0.02 | 0.7x | 269 | 57% |
| MACD fast=16, slow=56, signal=24 |
-2.6% | -82.1% | -0.03 | -0.03 | 0.5x | 271 | 51% |
| Buy and hold | 6.9% | -71.8% | 0.38 | 0.10 | 6.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 63-day EMA crosses above the 156-day EMA
- Sell — Sell when the 63-day EMA falls below the 156-day EMA