Trend-Following Backtester · Guide · backtest 한국어
equity · US
Friedman Industries Inc. backtest
10 trend-following strategies were compared on the full daily history of Friedman Industries Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -79.0%).
Sharpe leader (same as main): Supertrend — CAGR 3.6%, MDD -77.9%, Sharpe 0.27, 45% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=5 |
3.6% | -77.9% | 0.27 | 0.05 | 5.2x | 177 | 45% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.4% | -81.0% | 0.20 | 0.02 | 1.9x | 303 | 49% |
| SMA 크로스오버 fast=20, slow=85 |
1.0% | -89.0% | 0.19 | 0.01 | 1.6x | 171 | 51% |
| EMA 크로스오버 fast=27, slow=60 |
0.6% | -78.3% | 0.18 | 0.01 | 1.3x | 177 | 50% |
| Donchian 채널 돌파 entryN=118, exitN=69 |
0.6% | -81.7% | 0.17 | 0.01 | 1.3x | 69 | 40% |
| 볼린저 밴드 돌파 n=48, k=2.8 |
0.4% | -84.0% | 0.13 | 0.01 | 1.2x | 135 | 21% |
| MACD fast=19, slow=50, signal=19 |
-3.6% | -98.4% | 0.06 | -0.04 | 0.2x | 508 | 51% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=29, mult=3.1 |
-1.8% | -95.3% | 0.05 | -0.02 | 0.4x | 175 | 27% |
| ADX / DI 방향성 period=22, threshold=20 |
-2.8% | -88.7% | -0.01 | -0.03 | 0.3x | 265 | 23% |
| ROC 모멘텀 n=107, threshold=0.08 |
-4.5% | -96.5% | -0.02 | -0.05 | 0.1x | 437 | 36% |
| Buy and hold | 5.9% | -79.0% | 0.35 | 0.07 | 14.4x | 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) — 21-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)