Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fastenal Company backtest
10 trend-following strategies were compared on the full daily history of Fastenal Company. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.7%, drawdown -63.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.8%, MDD -62.8%, Sharpe 0.69, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.15 |
19.8% | -62.8% | 0.69 | 0.32 | 1137.9x | 25 | 100% |
| SMA 크로스오버 fast=39, slow=67 |
9.4% | -61.4% | 0.47 | 0.15 | 32.5x | 153 | 62% |
| EMA 크로스오버 fast=71, slow=264 |
9.7% | -71.5% | 0.46 | 0.13 | 36.2x | 35 | 78% |
| Donchian 채널 돌파 entryN=41, exitN=79 |
9.4% | -56.7% | 0.46 | 0.17 | 33.6x | 79 | 78% |
| Supertrend period=29, mult=3.4 |
8.0% | -53.6% | 0.44 | 0.15 | 20.3x | 219 | 61% |
| MACD fast=18, slow=39, signal=14 |
4.5% | -47.1% | 0.31 | 0.10 | 5.6x | 495 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=3.5 |
2.6% | -38.2% | 0.24 | 0.07 | 2.7x | 116 | 32% |
| Parabolic SAR step=0.01, maxStep=0.24 |
2.8% | -77.7% | 0.23 | 0.04 | 2.9x | 533 | 55% |
| 볼린저 밴드 돌파 n=63, k=0.9 |
2.5% | -58.2% | 0.22 | 0.04 | 2.6x | 267 | 53% |
| ADX / DI 방향성 period=23, threshold=10 |
1.2% | -78.3% | 0.17 | 0.02 | 1.6x | 597 | 57% |
| Buy and hold | 20.7% | -63.4% | 0.71 | 0.33 | 1503.3x | 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 2-day return is greater than -15%
- Sell — Sell when the 2-day return drops to -15% or below