Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fox Corporation backtest
10 trend-following strategies were compared on the full daily history of Fox Corporation. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.0%, MDD -17.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.8%, drawdown -51.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.0%, MDD -17.1%, Sharpe 0.67, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 7.0%, MDD -17.1%, exposure 17%).
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=33, threshold=18 |
7.0% | -17.1% | 0.67 | 0.41 | 1.7x | 14 | 17% |
| Donchian 채널 돌파 entryN=86, exitN=28 |
5.5% | -38.1% | 0.43 | 0.15 | 1.5x | 16 | 31% |
| MACD fast=13, slow=38, signal=15 |
6.1% | -31.6% | 0.38 | 0.19 | 1.6x | 97 | 51% |
| EMA 크로스오버 fast=56, slow=311 |
5.0% | -34.5% | 0.35 | 0.15 | 1.4x | 7 | 46% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
1.3% | -6.8% | 0.32 | 0.19 | 1.1x | 4 | 4% |
| ROC 모멘텀 n=112, threshold=0 |
3.8% | -44.0% | 0.29 | 0.09 | 1.3x | 69 | 51% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=18, mult=3.2 |
2.2% | -26.5% | 0.25 | 0.08 | 1.2x | 19 | 19% |
| Supertrend period=15, mult=2.9 |
1.4% | -36.1% | 0.17 | 0.04 | 1.1x | 51 | 53% |
| SMA 크로스오버 fast=37, slow=152 |
-1.3% | -53.1% | 0.05 | -0.03 | 0.9x | 14 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.6% | -58.0% | -0.09 | -0.08 | 0.7x | 138 | 55% |
| Buy and hold | 5.8% | -51.7% | 0.34 | 0.11 | 1.5x | 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, 33-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)