Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fuso Chemical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fuso Chemical Co., Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.3%, MDD -39.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.6%, drawdown -89.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.3%, MDD -53.7%, Sharpe 0.70, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 18.3%, MDD -39.3%, exposure 67%).
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=191 |
19.3% | -53.7% | 0.70 | 0.36 | 85.7x | 29 | 65% |
| EMA 크로스오버 fast=65, slow=214 |
18.3% | -39.3% | 0.67 | 0.46 | 69.0x | 17 | 67% |
| Donchian 채널 돌파 entryN=51, exitN=75 |
15.5% | -42.1% | 0.60 | 0.37 | 38.1x | 40 | 66% |
| ROC 모멘텀 n=112, threshold=-0.09 |
15.1% | -58.4% | 0.58 | 0.26 | 34.6x | 179 | 74% |
| ADX / DI 방향성 period=32, threshold=11 |
9.5% | -57.0% | 0.46 | 0.17 | 9.9x | 222 | 47% |
| Supertrend period=10, mult=5 |
7.1% | -70.3% | 0.38 | 0.10 | 5.7x | 104 | 54% |
| 볼린저 밴드 돌파 n=40, k=2.3 |
5.6% | -52.8% | 0.35 | 0.11 | 3.9x | 112 | 29% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=12, mult=3.9 |
4.7% | -61.9% | 0.33 | 0.08 | 3.2x | 72 | 17% |
| Parabolic SAR step=0.02, maxStep=0.3 |
3.3% | -76.4% | 0.26 | 0.04 | 2.3x | 476 | 52% |
| MACD fast=19, slow=45, signal=29 |
0.1% | -83.6% | 0.14 | 0.00 | 1.0x | 238 | 53% |
| Buy and hold | 13.6% | -89.5% | 0.52 | 0.15 | 24.8x | 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 191-day average
- Sell — Sell (to cash) when the 51-day average falls below the 191-day average