Trend-Following Backtester · Guide · backtest 한국어
equity · US
FMC Corporation backtest
10 trend-following strategies were compared on the full daily history of FMC Corporation. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.0%, MDD -47.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.1%, drawdown -92.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -47.8%, Sharpe 0.55, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.2%, MDD -73.2%, exposure 85%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 10.0%, MDD -47.8%, exposure 63%).
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=24, slow=137 |
10.0% | -47.8% | 0.55 | 0.21 | 82.1x | 82 | 63% |
| SMA 크로스오버 fast=11, slow=211 |
8.6% | -56.6% | 0.49 | 0.15 | 45.5x | 94 | 62% |
| Donchian 채널 돌파 entryN=11, exitN=71 |
10.2% | -73.2% | 0.48 | 0.14 | 89.7x | 122 | 85% |
| ROC 모멘텀 n=147, threshold=-0.02 |
3.9% | -83.8% | 0.28 | 0.05 | 5.9x | 348 | 66% |
| Supertrend period=21, mult=5 |
3.5% | -75.4% | 0.27 | 0.05 | 4.9x | 162 | 58% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
1.8% | -24.3% | 0.26 | 0.07 | 2.3x | 46 | 11% |
| Keltner 채널 돌파 emaPeriod=93, atrPeriod=22, mult=3.2 |
2.9% | -39.3% | 0.25 | 0.07 | 3.7x | 156 | 42% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.9% | -74.3% | 0.25 | 0.04 | 3.8x | 224 | 56% |
| MACD fast=23, slow=63, signal=16 |
2.5% | -80.9% | 0.23 | 0.03 | 3.2x | 427 | 50% |
| ADX / DI 방향성 period=29, threshold=31 |
0.7% | -21.3% | 0.16 | 0.03 | 1.4x | 28 | 4% |
| Buy and hold | 5.1% | -92.8% | 0.32 | 0.05 | 9.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 137-day EMA
- Sell — Sell when the 24-day EMA falls below the 137-day EMA