Trend-Following Backtester · Guide · backtest 한국어
equity · US
Federal Signal Corporation backtest
10 trend-following strategies were compared on the full daily history of Federal Signal Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -87.4%).
Sharpe leader (same as main): Supertrend — CAGR 5.6%, MDD -80.1%, Sharpe 0.34, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.0%, MDD -91.6%, exposure 85%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=5 |
5.6% | -80.1% | 0.34 | 0.07 | 12.7x | 139 | 59% |
| Donchian 채널 돌파 entryN=10, exitN=56 |
6.0% | -91.6% | 0.34 | 0.07 | 14.7x | 169 | 85% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
2.8% | -46.5% | 0.26 | 0.06 | 3.6x | 114 | 23% |
| ROC 모멘텀 n=95, threshold=-0.08 |
2.4% | -93.0% | 0.22 | 0.03 | 3.0x | 347 | 76% |
| EMA 크로스오버 fast=9, slow=167 |
1.4% | -94.1% | 0.18 | 0.01 | 1.9x | 157 | 62% |
| SMA 크로스오버 fast=11, slow=84 |
0.9% | -90.0% | 0.16 | 0.01 | 1.5x | 227 | 59% |
| ADX / DI 방향성 period=37, threshold=36 |
0.3% | -13.2% | 0.12 | 0.02 | 1.2x | 6 | 1% |
| MACD fast=17, slow=30, signal=13 |
-1.0% | -82.5% | 0.08 | -0.01 | 0.6x | 664 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=2.4 |
-0.5% | -87.2% | 0.07 | -0.01 | 0.8x | 228 | 37% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.2% | -91.9% | 0.03 | -0.02 | 0.4x | 610 | 53% |
| Buy and hold | 9.7% | -87.4% | 0.44 | 0.11 | 75.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)