Trend-Following Backtester · Guide · backtest 한국어
equity · US
Frontdoor, Inc. backtest
10 trend-following strategies were compared on the full daily history of Frontdoor, Inc.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 17.3%, MDD -33.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.2%, drawdown -66.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.3%, MDD -33.3%, Sharpe 0.74, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 17.3%, MDD -33.3%, exposure 50%).
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=69, threshold=0.02 |
17.3% | -33.3% | 0.74 | 0.52 | 3.6x | 39 | 50% |
| 볼린저 밴드 돌파 n=40, k=2.2 |
10.5% | -22.8% | 0.61 | 0.46 | 2.2x | 35 | 38% |
| SMA 크로스오버 fast=38, slow=90 |
13.9% | -48.7% | 0.60 | 0.29 | 2.8x | 19 | 54% |
| Donchian 채널 돌파 entryN=36, exitN=49 |
13.6% | -38.8% | 0.60 | 0.35 | 2.8x | 19 | 56% |
| Supertrend period=13, mult=4.9 |
9.9% | -42.7% | 0.47 | 0.23 | 2.1x | 19 | 56% |
| MACD fast=16, slow=31, signal=11 |
9.0% | -49.8% | 0.47 | 0.18 | 2.0x | 118 | 46% |
| Parabolic SAR step=0.02, maxStep=0.08 |
9.5% | -50.1% | 0.46 | 0.19 | 2.1x | 138 | 53% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=27, mult=1.8 |
6.4% | -34.6% | 0.43 | 0.19 | 1.6x | 43 | 35% |
| ADX / DI 방향성 period=37, threshold=23 |
3.1% | -14.8% | 0.42 | 0.21 | 1.3x | 6 | 7% |
| EMA 크로스오버 fast=25, slow=31 |
5.1% | -49.7% | 0.32 | 0.10 | 1.5x | 35 | 56% |
| Buy and hold | 13.2% | -66.4% | 0.51 | 0.20 | 2.7x | 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 69-day return is greater than 2%
- Sell — Sell when the 69-day return drops to 2% or below