Trend-Following Backtester · Guide · backtest 한국어
equity · JP
FUJI OIL CO. LTD. backtest
10 trend-following strategies were compared on the full daily history of FUJI OIL CO. LTD.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -57.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -38.5%, Sharpe 0.21, 53% 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=54, slow=142 |
2.2% | -38.5% | 0.21 | 0.06 | 1.8x | 45 | 53% |
| ROC 모멘텀 Hold-like · Exposure 98% n=4, threshold=-0.07 |
2.0% | -62.5% | 0.21 | 0.03 | 1.7x | 139 | 98% |
| EMA 크로스오버 fast=51, slow=209 |
1.6% | -48.9% | 0.18 | 0.03 | 1.5x | 37 | 53% |
| Donchian 채널 돌파 entryN=15, exitN=32 |
-0.3% | -69.7% | 0.10 | -0.00 | 0.9x | 135 | 68% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
0.1% | -23.6% | 0.06 | 0.01 | 1.0x | 36 | 11% |
| ADX / DI 방향성 period=24, threshold=36 |
0.1% | -13.8% | 0.05 | 0.01 | 1.0x | 6 | 1% |
| MACD fast=14, slow=40, signal=19 |
-1.7% | -72.3% | 0.01 | -0.02 | 0.6x | 300 | 51% |
| Supertrend period=10, mult=2.9 |
-3.1% | -78.5% | -0.05 | -0.04 | 0.5x | 209 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=17, mult=4 |
-0.7% | -31.5% | -0.09 | -0.02 | 0.8x | 22 | 3% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.2% | -84.5% | -0.15 | -0.06 | 0.3x | 215 | 52% |
| Buy and hold | 5.5% | -57.5% | 0.33 | 0.10 | 3.9x | 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 54-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 54-day average falls below the 142-day average