Trend-Following Backtester · Guide · backtest 한국어
equity · US
Franklin Electric Co., Inc. backtest
10 trend-following strategies were compared on the full daily history of Franklin Electric Co., Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -76.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.7%, MDD -77.1%, Sharpe 0.32, 71% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=103, slow=328 |
4.7% | -77.1% | 0.32 | 0.06 | 8.5x | 35 | 71% |
| Donchian 채널 돌파 entryN=9, exitN=84 |
4.6% | -82.4% | 0.32 | 0.06 | 8.1x | 119 | 90% |
| ROC 모멘텀 n=26, threshold=-0.12 |
3.4% | -78.1% | 0.29 | 0.04 | 4.7x | 245 | 95% |
| EMA 크로스오버 fast=50, slow=192 |
-0.0% | -82.2% | 0.17 | -0.00 | 1.0x | 97 | 69% |
| Supertrend period=7, mult=4 |
-0.3% | -85.3% | 0.16 | -0.00 | 0.9x | 183 | 60% |
| ADX / DI 방향성 period=37, threshold=35 |
0.6% | -19.8% | 0.13 | 0.03 | 1.3x | 10 | 3% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.0% | -86.6% | 0.09 | -0.02 | 0.4x | 343 | 54% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=10, mult=4 |
0.1% | -11.0% | 0.03 | 0.00 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
-0.7% | -65.4% | 0.00 | -0.01 | 0.7x | 54 | 12% |
| MACD fast=31, slow=41, signal=53 |
-6.0% | -96.4% | -0.06 | -0.06 | 0.1x | 355 | 51% |
| Buy and hold | 9.6% | -76.9% | 0.45 | 0.13 | 70.9x | 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 103-day average price crosses above the 328-day average
- Sell — Sell (to cash) when the 103-day average falls below the 328-day average