Trend-Following Backtester · Guide · backtest 한국어
equity · FR
FDJ United backtest
10 trend-following strategies were compared on the full daily history of FDJ United. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -10.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.3%, drawdown -58.6%).
Sharpe leader (same as main): Supertrend — CAGR 9.6%, MDD -29.5%, Sharpe 0.60, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 1.5%, MDD -10.1%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=4.9 |
9.6% | -29.5% | 0.60 | 0.33 | 1.9x | 18 | 45% |
| ADX / DI 방향성 period=35, threshold=28 |
1.5% | -10.1% | 0.45 | 0.15 | 1.1x | 2 | 4% |
| SMA 크로스오버 fast=10, slow=116 |
5.5% | -26.8% | 0.40 | 0.21 | 1.4x | 16 | 42% |
| EMA 크로스오버 fast=53, slow=92 |
4.9% | -31.8% | 0.36 | 0.16 | 1.4x | 12 | 42% |
| Donchian 채널 돌파 entryN=85, exitN=40 |
3.4% | -24.9% | 0.30 | 0.14 | 1.3x | 10 | 31% |
| ROC 모멘텀 n=89, threshold=0.06 |
3.1% | -32.6% | 0.27 | 0.09 | 1.2x | 30 | 32% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=19, mult=2 |
1.6% | -20.3% | 0.25 | 0.08 | 1.1x | 26 | 13% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.5% | -33.1% | 0.23 | 0.08 | 1.2x | 54 | 48% |
| 볼린저 밴드 돌파 n=19, k=1.8 |
1.4% | -25.2% | 0.17 | 0.06 | 1.1x | 56 | 29% |
| MACD fast=11, slow=30, signal=18 |
-2.4% | -48.4% | -0.04 | -0.05 | 0.9x | 101 | 52% |
| Buy and hold | -0.3% | -58.6% | 0.12 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)