Trend-Following Backtester · Guide · backtest 한국어
equity · US
TechnipFMC plc backtest
10 trend-following strategies were compared on the full daily history of TechnipFMC plc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.7%, MDD -52.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.4%, drawdown -92.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.7%, MDD -52.4%, Sharpe 0.59, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 13.7%, MDD -52.4%, exposure 62%).
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=29, slow=172 |
13.7% | -52.4% | 0.59 | 0.26 | 25.4x | 39 | 62% |
| EMA 크로스오버 fast=75, slow=200 |
13.5% | -75.7% | 0.58 | 0.18 | 24.5x | 23 | 66% |
| Donchian 채널 돌파 entryN=64, exitN=67 |
12.6% | -68.0% | 0.55 | 0.19 | 20.1x | 47 | 63% |
| ROC 모멘텀 n=138, threshold=-0.04 |
13.0% | -67.1% | 0.55 | 0.19 | 22.0x | 157 | 69% |
| Supertrend period=27, mult=3.1 |
8.5% | -77.1% | 0.43 | 0.11 | 7.9x | 163 | 57% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
6.5% | -77.0% | 0.38 | 0.08 | 4.9x | 137 | 48% |
| ADX / DI 방향성 period=32, threshold=29 |
1.8% | -23.6% | 0.34 | 0.07 | 1.6x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=2.7 |
5.0% | -39.4% | 0.34 | 0.13 | 3.5x | 111 | 35% |
| MACD fast=19, slow=59, signal=15 |
4.2% | -73.8% | 0.29 | 0.06 | 2.9x | 257 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.5% | -89.7% | 0.09 | -0.02 | 0.7x | 478 | 53% |
| Buy and hold | 12.4% | -92.1% | 0.49 | 0.13 | 19.1x | 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 29-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 29-day average falls below the 172-day average