Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fox Factory Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of Fox Factory Holding Corp.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -7.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.7%, drawdown -93.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.4%, MDD -41.2%, Sharpe 0.52, 58% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 3.2%, MDD -7.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=161, threshold=-0.06 |
11.4% | -41.2% | 0.52 | 0.28 | 4.1x | 75 | 58% |
| SMA 크로스오버 fast=6, slow=285 |
9.1% | -41.6% | 0.46 | 0.22 | 3.1x | 23 | 48% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=4 |
1.8% | -7.7% | 0.46 | 0.24 | 1.3x | 4 | 2% |
| Donchian 채널 돌파 entryN=36, exitN=55 |
9.7% | -58.2% | 0.45 | 0.17 | 3.4x | 27 | 60% |
| EMA 크로스오버 fast=18, slow=239 |
8.8% | -55.7% | 0.45 | 0.16 | 3.0x | 19 | 48% |
| ADX / DI 방향성 period=18, threshold=46 |
3.2% | -7.3% | 0.44 | 0.44 | 1.5x | 2 | 2% |
| Supertrend period=28, mult=4.4 |
5.1% | -56.6% | 0.32 | 0.09 | 1.9x | 45 | 54% |
| 볼린저 밴드 돌파 n=44, k=2.4 |
4.0% | -48.1% | 0.30 | 0.08 | 1.7x | 45 | 27% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.7% | -71.3% | 0.12 | -0.01 | 0.9x | 220 | 51% |
| MACD fast=7, slow=48, signal=9 |
-2.7% | -86.4% | 0.07 | -0.03 | 0.7x | 260 | 52% |
| Buy and hold | 0.7% | -93.0% | 0.24 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 161-day return is greater than -6%
- Sell — Sell when the 161-day return drops to -6% or below