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 -0.3%, drawdown -93.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -41.2%, Sharpe 0.49, 58% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.7%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 |
10.4% | -41.2% | 0.49 | 0.25 | 3.6x | 75 | 58% |
| SMA 크로스오버 fast=6, slow=285 |
9.7% | -40.5% | 0.48 | 0.24 | 3.3x | 22 | 48% |
| EMA 크로스오버 fast=18, slow=239 |
9.4% | -52.8% | 0.47 | 0.18 | 3.2x | 18 | 48% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=4 |
1.8% | -7.7% | 0.46 | 0.24 | 1.3x | 4 | 2% |
| ADX / DI 방향성 period=18, threshold=46 |
3.2% | -7.3% | 0.44 | 0.44 | 1.5x | 2 | 2% |
| Donchian 채널 돌파 entryN=36, exitN=55 |
8.7% | -58.2% | 0.42 | 0.15 | 3.0x | 27 | 60% |
| 볼린저 밴드 돌파 n=44, k=2.4 |
4.3% | -46.0% | 0.31 | 0.09 | 1.7x | 44 | 26% |
| Supertrend period=28, mult=4.4 |
4.9% | -54.2% | 0.31 | 0.09 | 1.9x | 44 | 54% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-1.6% | -71.3% | 0.09 | -0.02 | 0.8x | 219 | 50% |
| MACD fast=7, slow=48, signal=9 |
-3.1% | -85.8% | 0.05 | -0.04 | 0.7x | 257 | 52% |
| Buy and hold | -0.3% | -93.0% | 0.22 | -0.00 | 1.0x | 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