Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Fugro NV backtest
10 trend-following strategies were compared on the full daily history of Fugro NV. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.7%, MDD -14.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.6%, drawdown -95.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -60.0%, Sharpe 0.45, 40% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.5%, MDD -73.3%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 1.7%, MDD -14.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=86, exitN=38 |
7.2% | -60.0% | 0.45 | 0.12 | 7.0x | 54 | 40% |
| EMA 크로스오버 fast=6, slow=130 |
7.5% | -73.3% | 0.43 | 0.10 | 7.6x | 104 | 53% |
| Supertrend period=16, mult=3 |
7.5% | -69.7% | 0.39 | 0.11 | 7.6x | 212 | 53% |
| ROC 모멘텀 n=82, threshold=0.07 |
6.3% | -70.1% | 0.39 | 0.09 | 5.5x | 264 | 42% |
| SMA 크로스오버 fast=9, slow=119 |
6.6% | -76.5% | 0.38 | 0.09 | 6.0x | 100 | 54% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
1.7% | -14.9% | 0.33 | 0.11 | 1.6x | 16 | 3% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=32, mult=2.8 |
4.2% | -43.9% | 0.31 | 0.10 | 3.2x | 116 | 32% |
| MACD fast=27, slow=35, signal=28 |
-2.5% | -92.0% | 0.05 | -0.03 | 0.5x | 232 | 53% |
| ADX / DI 방향성 period=34, threshold=13 |
-1.0% | -67.4% | 0.05 | -0.02 | 0.7x | 228 | 33% |
| Parabolic SAR step=0.045, maxStep=0.38 |
-4.7% | -94.1% | -0.01 | -0.05 | 0.3x | 966 | 52% |
| Buy and hold | -1.6% | -95.6% | 0.18 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 86 days
- Sell — Sell when price breaks below the lowest low of the last 38 days