Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fuji Media Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fuji Media Holdings, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -33.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.0%, drawdown -81.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -73.6%, Sharpe 0.21, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 7.4%p (CAGR 1.7%, MDD -33.1%, exposure 19%).
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=55, slow=125 |
2.2% | -73.6% | 0.21 | 0.03 | 1.8x | 53 | 46% |
| 볼린저 밴드 돌파 n=49, k=1.9 |
2.0% | -47.3% | 0.20 | 0.04 | 1.6x | 102 | 29% |
| ADX / DI 방향성 period=26, threshold=19 |
1.7% | -33.1% | 0.19 | 0.05 | 1.6x | 94 | 19% |
| Donchian 채널 돌파 entryN=88, exitN=34 |
1.4% | -62.2% | 0.17 | 0.02 | 1.4x | 51 | 32% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=33, mult=3.1 |
1.1% | -53.3% | 0.15 | 0.02 | 1.3x | 86 | 24% |
| EMA 크로스오버 fast=17, slow=140 |
-0.5% | -67.8% | 0.09 | -0.01 | 0.9x | 57 | 45% |
| ROC 모멘텀 n=166, threshold=0.03 |
-0.4% | -67.2% | 0.09 | -0.01 | 0.9x | 193 | 43% |
| Supertrend period=10, mult=4 |
-3.5% | -81.6% | -0.05 | -0.04 | 0.4x | 137 | 49% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-5.9% | -92.2% | -0.15 | -0.06 | 0.2x | 417 | 49% |
| MACD fast=14, slow=22, signal=17 |
-8.5% | -94.3% | -0.27 | -0.09 | 0.1x | 393 | 52% |
| Buy and hold | -0.0% | -81.0% | 0.16 | -0.00 | 1.0x | 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 55-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 55-day average falls below the 125-day average