Trend-Following Backtester · Guide · backtest 한국어
equity · US
Forward Air Corporation backtest
10 trend-following strategies were compared on the full daily history of Forward Air Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.6%, MDD -72.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.3%, drawdown -93.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.6%, MDD -72.6%, Sharpe 0.39, 95% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 7.6%, MDD -72.6%, exposure 95%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=3, exitN=123 |
7.6% | -72.6% | 0.39 | 0.10 | 11.0x | 73 | 95% |
| ADX / DI 방향성 period=34, threshold=39 |
1.9% | -17.9% | 0.31 | 0.11 | 1.8x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=19, mult=4 |
1.5% | -25.0% | 0.22 | 0.06 | 1.6x | 14 | 3% |
| SMA 크로스오버 fast=45, slow=75 |
1.7% | -81.7% | 0.21 | 0.02 | 1.8x | 126 | 56% |
| EMA 크로스오버 fast=25, slow=202 |
0.9% | -81.0% | 0.19 | 0.01 | 1.4x | 62 | 59% |
| Supertrend period=18, mult=4.8 |
0.5% | -88.3% | 0.17 | 0.01 | 1.2x | 105 | 56% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-3.4% | -97.4% | 0.05 | -0.03 | 0.3x | 667 | 52% |
| ROC 모멘텀 n=119, threshold=-0.03 |
-3.6% | -91.2% | 0.05 | -0.04 | 0.3x | 316 | 64% |
| MACD fast=18, slow=51, signal=20 |
-4.9% | -96.5% | 0.03 | -0.05 | 0.2x | 351 | 52% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
-3.0% | -95.7% | 0.02 | -0.03 | 0.4x | 224 | 42% |
| Buy and hold | 4.3% | -93.3% | 0.33 | 0.05 | 3.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 3 days
- Sell — Sell when price breaks below the lowest low of the last 123 days