Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Fisher & Paykel Healthcare Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Fisher & Paykel Healthcare Corporation Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.5%, MDD -43.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.3%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -43.8%, Sharpe 0.65, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 16.0%p (CAGR 12.5%, MDD -43.8%, exposure 65%).
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=42, slow=138 |
12.5% | -43.8% | 0.65 | 0.28 | 22.9x | 45 | 65% |
| EMA 크로스오버 fast=59, slow=112 |
11.7% | -53.4% | 0.61 | 0.22 | 19.3x | 41 | 68% |
| Donchian 채널 돌파 entryN=76, exitN=34 |
10.2% | -38.1% | 0.61 | 0.27 | 13.2x | 59 | 50% |
| Supertrend period=10, mult=4.7 |
8.3% | -56.5% | 0.49 | 0.15 | 8.4x | 111 | 64% |
| ROC 모멘텀 n=145, threshold=-0.02 |
8.6% | -51.5% | 0.48 | 0.17 | 9.0x | 221 | 70% |
| ADX / DI 방향성 period=36, threshold=12 |
7.0% | -44.4% | 0.47 | 0.16 | 6.1x | 175 | 44% |
| 볼린저 밴드 돌파 n=77, k=3.5 |
4.2% | -22.5% | 0.47 | 0.18 | 3.0x | 20 | 17% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=2.9 |
6.0% | -50.9% | 0.45 | 0.12 | 4.7x | 105 | 39% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.5% | -64.9% | 0.22 | 0.04 | 1.9x | 221 | 56% |
| MACD fast=24, slow=63, signal=22 |
0.1% | -67.9% | 0.10 | 0.00 | 1.0x | 245 | 50% |
| Buy and hold | 14.3% | -59.8% | 0.63 | 0.24 | 35.2x | 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 42-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 42-day average falls below the 138-day average