Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Furuno Electric Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Furuno Electric Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.6%, MDD -36.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.6%, drawdown -84.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -50.2%, Sharpe 0.57, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 11.6%, MDD -36.1%, exposure 34%).
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=38, slow=62 |
13.4% | -50.2% | 0.57 | 0.27 | 27.8x | 109 | 51% |
| 볼린저 밴드 돌파 n=49, k=2 |
11.6% | -36.1% | 0.56 | 0.32 | 18.0x | 107 | 34% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=32, mult=2.2 |
11.4% | -47.6% | 0.54 | 0.24 | 17.4x | 129 | 39% |
| Donchian 채널 돌파 entryN=97, exitN=13 |
8.6% | -40.7% | 0.50 | 0.21 | 8.8x | 84 | 23% |
| Supertrend period=29, mult=4.6 |
10.1% | -63.9% | 0.47 | 0.16 | 12.6x | 107 | 53% |
| EMA 크로스오버 fast=28, slow=67 |
9.5% | -52.7% | 0.45 | 0.18 | 11.0x | 79 | 52% |
| ROC 모멘텀 n=49, threshold=0.04 |
8.8% | -47.2% | 0.44 | 0.19 | 9.4x | 331 | 43% |
| Parabolic SAR step=0.01, maxStep=0.38 |
7.6% | -58.5% | 0.40 | 0.13 | 6.9x | 301 | 51% |
| ADX / DI 방향성 period=19, threshold=17 |
4.9% | -56.3% | 0.31 | 0.09 | 3.5x | 259 | 37% |
| MACD fast=14, slow=23, signal=12 |
5.0% | -58.7% | 0.31 | 0.08 | 3.6x | 414 | 50% |
| Buy and hold | 11.6% | -84.5% | 0.47 | 0.14 | 18.0x | 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 38-day average price crosses above the 62-day average
- Sell — Sell (to cash) when the 38-day average falls below the 62-day average