Trend-Following Backtester · Guide · backtest 한국어
equity · US
FRP Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of FRP Holdings, 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 6.5%, drawdown -61.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -13.0%, Sharpe 0.23, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.8%, MDD -58.2%, exposure 59%.
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=38 |
0.9% | -13.0% | 0.23 | 0.07 | 1.4x | 4 | 1% |
| SMA 크로스오버 fast=54, slow=201 |
1.8% | -58.2% | 0.21 | 0.03 | 2.0x | 63 | 59% |
| EMA 크로스오버 fast=53, slow=211 |
0.3% | -65.3% | 0.16 | 0.00 | 1.1x | 64 | 59% |
| Donchian 채널 돌파 entryN=64, exitN=77 |
-4.1% | -86.4% | 0.01 | -0.05 | 0.2x | 93 | 59% |
| ROC 모멘텀 n=135, threshold=-0.07 |
-7.0% | -95.7% | -0.04 | -0.07 | 0.1x | 375 | 73% |
| 볼린저 밴드 돌파 n=75, k=3.5 |
-1.8% | -69.0% | -0.05 | -0.03 | 0.5x | 56 | 14% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-8.2% | -98.3% | -0.13 | -0.08 | 0.0x | 294 | 50% |
| Supertrend period=15, mult=5 |
-13.9% | -99.8% | -0.31 | -0.14 | 0.0x | 221 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=4 |
-8.6% | -97.4% | -0.38 | -0.09 | 0.0x | 136 | 18% |
| MACD fast=24, slow=31, signal=38 |
-16.5% | -100.0% | -0.44 | -0.16 | 0.0x | 450 | 50% |
| Buy and hold | 6.5% | -61.5% | 0.36 | 0.11 | 12.7x | 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 ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)