Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Metso Corporation backtest
10 trend-following strategies were compared on the full daily history of Metso Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.3%, MDD -50.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.4%, drawdown -84.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.7%, MDD -52.4%, Sharpe 0.64, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 9.3%, MDD -50.6%, exposure 60%).
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=51, slow=65 |
16.7% | -52.4% | 0.64 | 0.32 | 21.1x | 93 | 60% |
| Donchian 채널 돌파 entryN=17, exitN=62 |
16.5% | -56.2% | 0.60 | 0.29 | 20.6x | 49 | 79% |
| EMA 크로스오버 fast=54, slow=66 |
9.3% | -50.6% | 0.45 | 0.18 | 5.8x | 49 | 60% |
| ROC 모멘텀 n=110, threshold=0.04 |
7.4% | -53.6% | 0.40 | 0.14 | 4.1x | 180 | 53% |
| Supertrend period=24, mult=4.9 |
6.0% | -67.7% | 0.35 | 0.09 | 3.2x | 73 | 55% |
| ADX / DI 방향성 period=19, threshold=35 |
2.2% | -20.5% | 0.30 | 0.11 | 1.5x | 20 | 5% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
4.0% | -47.1% | 0.29 | 0.08 | 2.2x | 63 | 32% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=2.2 |
2.2% | -57.0% | 0.21 | 0.04 | 1.5x | 105 | 39% |
| Parabolic SAR step=0.015, maxStep=0.3 |
1.7% | -77.6% | 0.21 | 0.02 | 1.4x | 347 | 52% |
| MACD fast=18, slow=22, signal=8 |
-0.1% | -83.5% | 0.16 | -0.00 | 1.0x | 371 | 51% |
| Buy and hold | 8.4% | -84.0% | 0.41 | 0.10 | 5.0x | 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 51-day average price crosses above the 65-day average
- Sell — Sell (to cash) when the 51-day average falls below the 65-day average