Trend-Following Backtester · Guide · backtest 한국어

equity · US

Flex Ltd. backtest

10 trend-following strategies were compared on the full daily history of Flex Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.6%, MDD -68.5%).

Data 1994-03-18 ~ 2026-07-31daily bars 8,146 (32.4 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 14.6%, drawdown -96.4%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -68.5%, Sharpe 0.53, 61% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 27.9%p (CAGR 13.6%, MDD -68.5%, exposure 61%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=55, slow=204
13.6%-68.5%0.530.2062.0x4161%
Donchian 채널 돌파
entryN=30, exitN=85
13.5%-88.3%0.510.1560.6x6577%
EMA 크로스오버
fast=30, slow=219
11.3%-75.2%0.480.1531.6x5360%
MACD
fast=31, slow=70, signal=15
7.9%-88.1%0.390.0911.7x28051%
Supertrend
period=22, mult=5
7.7%-89.5%0.380.0910.9x9856%
ADX / DI 방향성
period=26, threshold=12
7.4%-70.6%0.380.1110.2x34444%
ROC 모멘텀
n=82, threshold=0
6.2%-89.3%0.350.077.0x38759%
볼린저 밴드 돌파
n=59, k=1.2
4.3%-90.4%0.290.053.9x19845%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=21, mult=2.3
3.2%-76.1%0.250.042.8x15438%
Parabolic SAR
step=0.02, maxStep=0.18
0.0%-92.9%0.190.001.0x68052%
Buy and hold14.6%-96.4%0.520.1582.9x1100%
1x 10x 100x 1995 1999 2003 2007 2011 2015 2019 2023 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -68.5% (1996-05-01 → 1997-04-02), recovered after 1,310 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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