Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fortinet, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fortinet, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 31.8%, drawdown -51.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.3%, MDD -51.4%, Sharpe 0.85, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
30.3% | -51.4% | 0.85 | 0.59 | 84.7x | 29 | 100% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
15.4% | -30.1% | 0.82 | 0.51 | 11.1x | 36 | 33% |
| ADX / DI 방향성 period=30, threshold=17 |
13.3% | -40.3% | 0.77 | 0.33 | 8.1x | 73 | 29% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=2.3 |
16.0% | -41.9% | 0.72 | 0.38 | 12.1x | 69 | 47% |
| SMA 크로스오버 fast=23, slow=36 |
18.6% | -56.3% | 0.72 | 0.33 | 17.6x | 129 | 62% |
| Supertrend period=18, mult=4.2 |
17.9% | -60.5% | 0.68 | 0.30 | 15.8x | 61 | 62% |
| Donchian 채널 돌파 entryN=15, exitN=29 |
18.9% | -63.4% | 0.68 | 0.30 | 18.3x | 81 | 74% |
| EMA 크로스오버 fast=23, slow=42 |
15.7% | -64.0% | 0.63 | 0.25 | 11.6x | 77 | 63% |
| MACD fast=13, slow=30, signal=17 |
5.5% | -64.0% | 0.33 | 0.09 | 2.5x | 248 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
3.2% | -72.3% | 0.26 | 0.04 | 1.7x | 303 | 57% |
| Buy and hold | 31.8% | -51.2% | 0.87 | 0.62 | 102.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below