Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flex Ltd. backtest
10 trend-following strategies were compared on the full daily history of Flex Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.6%, MDD -68.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.6%, drawdown -96.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -68.5%, Sharpe 0.53, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 27.9%p (CAGR 13.6%, MDD -68.5%, exposure 61%).
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=55, slow=204 |
13.6% | -68.5% | 0.53 | 0.20 | 62.0x | 41 | 61% |
| Donchian 채널 돌파 entryN=30, exitN=85 |
13.5% | -88.3% | 0.51 | 0.15 | 60.6x | 65 | 77% |
| EMA 크로스오버 fast=30, slow=219 |
11.3% | -75.2% | 0.48 | 0.15 | 31.6x | 53 | 60% |
| MACD fast=31, slow=70, signal=15 |
7.9% | -88.1% | 0.39 | 0.09 | 11.7x | 280 | 51% |
| Supertrend period=22, mult=5 |
7.7% | -89.5% | 0.38 | 0.09 | 10.9x | 98 | 56% |
| ADX / DI 방향성 period=26, threshold=12 |
7.4% | -70.6% | 0.38 | 0.11 | 10.2x | 344 | 44% |
| ROC 모멘텀 n=82, threshold=0 |
6.2% | -89.3% | 0.35 | 0.07 | 7.0x | 387 | 59% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
4.3% | -90.4% | 0.29 | 0.05 | 3.9x | 198 | 45% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=2.3 |
3.2% | -76.1% | 0.25 | 0.04 | 2.8x | 154 | 38% |
| Parabolic SAR step=0.02, maxStep=0.18 |
0.0% | -92.9% | 0.19 | 0.00 | 1.0x | 680 | 52% |
| Buy and hold | 14.6% | -96.4% | 0.52 | 0.15 | 82.9x | 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 55-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 55-day average falls below the 204-day average