Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Fujitsu Limited backtest
10 trend-following strategies were compared on the full daily history of Fujitsu Limited. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -7.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.8%, drawdown -94.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -65.2%, Sharpe 0.40, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 1.0%, MDD -7.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=107 |
7.0% | -65.2% | 0.40 | 0.11 | 6.0x | 41 | 54% |
| SMA 크로스오버 fast=25, slow=208 |
6.2% | -58.1% | 0.38 | 0.11 | 5.0x | 46 | 53% |
| Donchian 채널 돌파 entryN=89, exitN=72 |
5.0% | -63.2% | 0.33 | 0.08 | 3.7x | 38 | 46% |
| ADX / DI 방향성 period=30, threshold=35 |
1.0% | -7.7% | 0.29 | 0.13 | 1.3x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=10, mult=3.4 |
3.4% | -36.1% | 0.29 | 0.09 | 2.4x | 77 | 22% |
| ROC 모멘텀 n=109, threshold=0 |
3.8% | -64.2% | 0.28 | 0.06 | 2.7x | 235 | 53% |
| 볼린저 밴드 돌파 n=41, k=2.7 |
2.0% | -36.1% | 0.21 | 0.06 | 1.7x | 67 | 20% |
| Supertrend period=27, mult=4.9 |
0.9% | -64.7% | 0.15 | 0.01 | 1.3x | 103 | 49% |
| MACD fast=17, slow=51, signal=23 |
-0.7% | -79.2% | 0.10 | -0.01 | 0.8x | 275 | 52% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-0.9% | -69.8% | 0.08 | -0.01 | 0.8x | 363 | 53% |
| Buy and hold | -0.8% | -94.3% | 0.16 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 107-day EMA
- Sell — Sell when the 58-day EMA falls below the 107-day EMA