Trend-Following Backtester · Guide · backtest 한국어
equity · US
Frequency Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Frequency Electronics, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -71.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -94.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -18.2%, Sharpe 0.42, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -71.2%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 76.2%p (CAGR 7.2%, MDD -71.2%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=45, threshold=33 |
3.3% | -18.2% | 0.42 | 0.18 | 4.5x | 4 | 2% |
| SMA 크로스오버 fast=74, slow=223 |
7.2% | -71.2% | 0.37 | 0.10 | 24.5x | 53 | 51% |
| Donchian 채널 돌파 entryN=62, exitN=92 |
4.3% | -89.7% | 0.30 | 0.05 | 6.9x | 79 | 61% |
| EMA 크로스오버 fast=51, slow=110 |
4.1% | -84.7% | 0.29 | 0.05 | 6.3x | 89 | 50% |
| ROC 모멘텀 n=146, threshold=-0.06 |
2.5% | -96.5% | 0.26 | 0.03 | 3.2x | 425 | 61% |
| Supertrend period=18, mult=4.7 |
2.0% | -95.9% | 0.24 | 0.02 | 2.5x | 199 | 57% |
| Parabolic SAR step=0.005, maxStep=0.16 |
0.9% | -95.4% | 0.21 | 0.01 | 1.5x | 327 | 48% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
1.3% | -74.2% | 0.16 | 0.02 | 1.8x | 74 | 8% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=1.9 |
-2.4% | -97.7% | 0.08 | -0.02 | 0.3x | 296 | 31% |
| MACD fast=23, slow=51, signal=19 |
-6.3% | -99.3% | 0.01 | -0.06 | 0.1x | 462 | 48% |
| Buy and hold | 9.3% | -94.3% | 0.43 | 0.10 | 59.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 45-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)