Trend-Following Backtester · Guide · backtest 한국어

equity · US

FormFactor, Inc. backtest

10 trend-following strategies were compared on the full daily history of FormFactor, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 2003-06-12 ~ 2026-07-31daily bars 5,821 (23.1 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.1%, drawdown -92.4%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.4%, MDD -25.8%, Sharpe 0.47, 6% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -83.9%, exposure 54%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=37, threshold=24
5.4%-25.8%0.470.213.4x126%
SMA 크로스오버
fast=46, slow=268
6.5%-83.9%0.360.084.3x3154%
Donchian 채널 돌파
entryN=9, exitN=77
3.7%-81.1%0.310.052.3x7286%
EMA 크로스오버
fast=55, slow=197
4.7%-82.6%0.310.062.9x3353%
볼린저 밴드 돌파
n=50, k=3.2
3.0%-53.3%0.270.062.0x209%
Keltner 채널 돌파
emaPeriod=25, atrPeriod=9, mult=4
2.5%-24.4%0.270.101.8x164%
ROC 모멘텀
n=180, threshold=-0.01
2.8%-78.3%0.260.041.9x19557%
Supertrend
period=19, mult=5
1.0%-85.5%0.200.011.3x7251%
MACD
fast=23, slow=40, signal=18
-4.6%-87.9%0.04-0.050.3x26251%
Parabolic SAR
step=0.02, maxStep=0.16
-8.7%-96.8%-0.08-0.090.1x49253%
Buy and hold8.1%-92.4%0.410.096.0x1100%
1x 2004 2007 2010 2013 2016 2019 2022 2025 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -23% -46% -69% -92% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -25.8% (2026-04-24 → 2026-06-01), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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