Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Forvia SE backtest
10 trend-following strategies were compared on the full daily history of Forvia SE. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -12.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.9%, drawdown -92.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.2%, MDD -49.7%, Sharpe 0.34, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 0.5%, MDD -12.0%, exposure 2%).
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=113, threshold=0.14 |
5.2% | -49.7% | 0.34 | 0.10 | 3.8x | 200 | 29% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
2.5% | -28.4% | 0.31 | 0.09 | 1.9x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=3.6 |
3.0% | -58.3% | 0.25 | 0.05 | 2.2x | 60 | 18% |
| Supertrend period=18, mult=5 |
1.9% | -64.5% | 0.20 | 0.03 | 1.6x | 86 | 49% |
| Donchian 채널 돌파 entryN=16, exitN=30 |
1.1% | -77.8% | 0.20 | 0.01 | 1.3x | 135 | 64% |
| SMA 크로스오버 fast=6, slow=139 |
0.4% | -74.6% | 0.15 | 0.01 | 1.1x | 108 | 47% |
| ADX / DI 방향성 period=38, threshold=27 |
0.5% | -12.0% | 0.13 | 0.04 | 1.1x | 8 | 2% |
| EMA 크로스오버 fast=21, slow=110 |
-0.3% | -77.7% | 0.12 | -0.00 | 0.9x | 74 | 47% |
| MACD fast=19, slow=38, signal=23 |
-1.3% | -87.4% | 0.11 | -0.01 | 0.7x | 279 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.1% | -90.5% | -0.05 | -0.07 | 0.2x | 449 | 49% |
| Buy and hold | -5.9% | -92.3% | 0.09 | -0.06 | 0.2x | 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 113-day return is greater than 14%
- Sell — Sell when the 113-day return drops to 14% or below