Trend-Following Backtester · Guide · backtest 한국어
equity · JP
FUJIFILM Holdings Corp backtest
10 trend-following strategies were compared on the full daily history of FUJIFILM Holdings Corp. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -78.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -21.2%, Sharpe 0.24, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.5%, MDD -58.8%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=2.9 |
1.9% | -21.2% | 0.24 | 0.09 | 1.6x | 30 | 15% |
| SMA 크로스오버 fast=41, slow=125 |
2.5% | -58.8% | 0.23 | 0.04 | 2.0x | 55 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=4 |
1.9% | -27.7% | 0.21 | 0.07 | 1.6x | 54 | 22% |
| EMA 크로스오버 fast=6, slow=137 |
2.2% | -69.3% | 0.21 | 0.03 | 1.8x | 120 | 54% |
| Donchian 채널 돌파 entryN=25, exitN=58 |
1.5% | -62.6% | 0.18 | 0.02 | 1.5x | 75 | 70% |
| Supertrend period=14, mult=5 |
-0.7% | -78.8% | 0.07 | -0.01 | 0.8x | 94 | 53% |
| ADX / DI 방향성 period=16, threshold=50 |
0.1% | -4.6% | 0.07 | 0.01 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=78, threshold=0 |
-3.2% | -83.6% | -0.06 | -0.04 | 0.4x | 323 | 54% |
| MACD fast=28, slow=54, signal=22 |
-4.4% | -86.0% | -0.11 | -0.05 | 0.3x | 232 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-7.8% | -91.4% | -0.28 | -0.09 | 0.1x | 460 | 52% |
| Buy and hold | 4.0% | -78.1% | 0.28 | 0.05 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 57-day middle average