Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flotek Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Flotek Industries, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.1%, MDD -26.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.4%, drawdown -99.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.6%, MDD -46.1%, Sharpe 0.66, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 5.1%, MDD -26.0%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=3.3 |
14.6% | -46.1% | 0.66 | 0.32 | 17.6x | 50 | 12% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=17, mult=4 |
8.4% | -29.5% | 0.62 | 0.28 | 5.4x | 18 | 5% |
| ROC 모멘텀 n=53, threshold=0.12 |
13.9% | -83.6% | 0.50 | 0.17 | 15.4x | 247 | 38% |
| EMA 크로스오버 fast=24, slow=88 |
10.9% | -90.0% | 0.46 | 0.12 | 8.8x | 57 | 48% |
| Supertrend period=7, mult=3.7 |
8.4% | -86.6% | 0.41 | 0.10 | 5.4x | 94 | 54% |
| Donchian 채널 돌파 entryN=92, exitN=49 |
8.1% | -79.5% | 0.40 | 0.10 | 5.2x | 35 | 39% |
| ADX / DI 방향성 period=27, threshold=31 |
5.1% | -26.0% | 0.39 | 0.20 | 2.8x | 18 | 6% |
| SMA 크로스오버 fast=47, slow=159 |
6.5% | -92.4% | 0.37 | 0.07 | 3.8x | 33 | 47% |
| MACD fast=16, slow=40, signal=16 |
2.1% | -96.9% | 0.33 | 0.02 | 1.5x | 238 | 50% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-1.3% | -95.6% | 0.26 | -0.01 | 0.8x | 438 | 50% |
| Buy and hold | -2.4% | -99.1% | 0.38 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 20-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 20-day middle average