Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flexsteel Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Flexsteel Industries, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.8%, MDD -67.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -87.2%).
Sharpe leader (same as main): Supertrend — CAGR 6.8%, MDD -67.5%, Sharpe 0.36, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 19.7%p (CAGR 6.8%, MDD -67.5%, exposure 51%).
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=11, mult=4.8 |
6.8% | -67.5% | 0.36 | 0.10 | 21.3x | 121 | 51% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
3.9% | -47.5% | 0.31 | 0.08 | 5.8x | 74 | 15% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=4 |
3.3% | -43.0% | 0.29 | 0.08 | 4.5x | 63 | 14% |
| Donchian 채널 돌파 entryN=27, exitN=78 |
4.0% | -72.4% | 0.29 | 0.06 | 6.2x | 127 | 67% |
| SMA 크로스오버 fast=9, slow=77 |
4.1% | -84.1% | 0.28 | 0.05 | 6.3x | 247 | 51% |
| EMA 크로스오버 fast=58, slow=146 |
3.5% | -66.9% | 0.26 | 0.05 | 4.9x | 71 | 55% |
| MACD fast=53, slow=71, signal=35 |
2.9% | -88.9% | 0.25 | 0.03 | 3.7x | 251 | 51% |
| ADX / DI 방향성 period=32, threshold=33 |
2.1% | -40.7% | 0.23 | 0.05 | 2.6x | 46 | 10% |
| Parabolic SAR step=0.01, maxStep=0.1 |
1.2% | -90.4% | 0.19 | 0.01 | 1.7x | 519 | 52% |
| ROC 모멘텀 n=145, threshold=0.14 |
-4.4% | -98.8% | -0.06 | -0.04 | 0.1x | 403 | 30% |
| Buy and hold | 7.2% | -87.2% | 0.38 | 0.08 | 25.3x | 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) — 11-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)