Trend-Following Backtester · Guide · backtest 한국어
equity · US
F5, Inc. backtest
10 trend-following strategies were compared on the full daily history of F5, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.6%, MDD -59.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -97.6%).
Sharpe leader (same as main): Supertrend — CAGR 15.6%, MDD -59.2%, Sharpe 0.58, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 38.4%p (CAGR 15.6%, MDD -59.2%, exposure 55%).
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=20, mult=4.8 |
15.6% | -59.2% | 0.58 | 0.26 | 50.8x | 79 | 55% |
| Donchian 채널 돌파 entryN=13, exitN=50 |
14.5% | -88.7% | 0.52 | 0.16 | 39.3x | 107 | 78% |
| ROC 모멘텀 n=52, threshold=-0.03 |
13.2% | -70.4% | 0.51 | 0.19 | 29.2x | 293 | 64% |
| EMA 크로스오버 fast=45, slow=59 |
12.8% | -58.2% | 0.51 | 0.22 | 26.1x | 63 | 57% |
| SMA 크로스오버 fast=35, slow=142 |
9.8% | -66.9% | 0.44 | 0.15 | 12.8x | 47 | 57% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=12, mult=3 |
8.5% | -71.8% | 0.43 | 0.12 | 9.2x | 83 | 40% |
| 볼린저 밴드 돌파 n=42, k=1.6 |
7.7% | -55.3% | 0.39 | 0.14 | 7.5x | 168 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.4% | -81.3% | 0.35 | 0.08 | 5.4x | 240 | 54% |
| ADX / DI 방향성 period=29, threshold=9 |
5.5% | -80.4% | 0.33 | 0.07 | 4.3x | 366 | 55% |
| MACD fast=24, slow=60, signal=17 |
4.8% | -86.8% | 0.31 | 0.06 | 3.6x | 250 | 54% |
| Buy and hold | 15.8% | -97.6% | 0.54 | 0.16 | 53.9x | 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) — 20-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)