Trend-Following Backtester · Guide · backtest 한국어
equity · US
Forward Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Forward Industries, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.9%, MDD -69.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.8%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -73.5%, Sharpe 0.50, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.5%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 8.9%, MDD -69.7%, exposure 24%).
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=15, slow=96 |
14.7% | -73.5% | 0.50 | 0.20 | 77.3x | 83 | 42% |
| EMA 크로스오버 fast=55, slow=130 |
10.4% | -79.8% | 0.43 | 0.13 | 23.3x | 40 | 40% |
| Donchian 채널 돌파 entryN=35, exitN=63 |
7.4% | -88.8% | 0.42 | 0.08 | 9.6x | 57 | 53% |
| ROC 모멘텀 n=201, threshold=0.02 |
7.1% | -86.9% | 0.39 | 0.08 | 8.8x | 128 | 39% |
| ADX / DI 방향성 period=22, threshold=25 |
8.9% | -69.7% | 0.39 | 0.13 | 15.1x | 106 | 24% |
| Supertrend period=13, mult=5 |
1.2% | -98.0% | 0.34 | 0.01 | 1.4x | 61 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=2.9 |
3.1% | -89.9% | 0.28 | 0.03 | 2.6x | 67 | 18% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.6% | -98.7% | 0.24 | -0.04 | 0.3x | 193 | 42% |
| 볼린저 밴드 돌파 n=65, k=2.2 |
-1.1% | -95.1% | 0.22 | -0.01 | 0.7x | 101 | 25% |
| MACD fast=20, slow=24, signal=17 |
-28.7% | -100.0% | -0.10 | -0.29 | 0.0x | 461 | 53% |
| Buy and hold | -1.8% | -98.9% | 0.44 | -0.02 | 0.6x | 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 15-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 15-day average falls below the 96-day average