Trend-Following Backtester · Guide · backtest 한국어
equity · US
FormFactor, Inc. backtest
10 trend-following strategies were compared on the full daily history of FormFactor, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -92.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.4%, MDD -25.8%, Sharpe 0.47, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -83.9%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=24 |
5.4% | -25.8% | 0.47 | 0.21 | 3.4x | 12 | 6% |
| SMA 크로스오버 fast=46, slow=268 |
6.5% | -83.9% | 0.36 | 0.08 | 4.3x | 31 | 54% |
| Donchian 채널 돌파 entryN=9, exitN=77 |
3.7% | -81.1% | 0.31 | 0.05 | 2.3x | 72 | 86% |
| EMA 크로스오버 fast=55, slow=197 |
4.7% | -82.6% | 0.31 | 0.06 | 2.9x | 33 | 53% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
3.0% | -53.3% | 0.27 | 0.06 | 2.0x | 20 | 9% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=4 |
2.5% | -24.4% | 0.27 | 0.10 | 1.8x | 16 | 4% |
| ROC 모멘텀 n=180, threshold=-0.01 |
2.8% | -78.3% | 0.26 | 0.04 | 1.9x | 195 | 57% |
| Supertrend period=19, mult=5 |
1.0% | -85.5% | 0.20 | 0.01 | 1.3x | 72 | 51% |
| MACD fast=23, slow=40, signal=18 |
-4.6% | -87.9% | 0.04 | -0.05 | 0.3x | 262 | 51% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-8.7% | -96.8% | -0.08 | -0.09 | 0.1x | 492 | 53% |
| Buy and hold | 8.1% | -92.4% | 0.41 | 0.09 | 6.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)