Trend-Following Backtester · Guide · backtest 한국어
equity · US
Forward Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Forward Industries, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.9%, MDD -69.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.2%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -73.5%, Sharpe 0.49, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 8.9%, MDD -69.7%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=15, slow=96 |
14.0% | -73.5% | 0.49 | 0.19 | 63.0x | 82 | 42% |
| EMA 크로스오버 fast=55, slow=130 |
10.4% | -79.8% | 0.43 | 0.13 | 23.3x | 40 | 40% |
| Donchian 채널 돌파 entryN=35, exitN=63 |
7.1% | -88.8% | 0.42 | 0.08 | 8.7x | 56 | 54% |
| ROC 모멘텀 n=201, threshold=0.02 |
7.1% | -86.9% | 0.39 | 0.08 | 8.8x | 128 | 39% |
| ADX / DI 방향성 period=22, threshold=25 |
8.9% | -69.7% | 0.39 | 0.13 | 15.1x | 106 | 24% |
| Supertrend period=13, mult=5 |
0.9% | -98.0% | 0.33 | 0.01 | 1.3x | 60 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=2.9 |
2.8% | -89.9% | 0.27 | 0.03 | 2.4x | 66 | 18% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-5.0% | -98.7% | 0.22 | -0.05 | 0.2x | 193 | 42% |
| 볼린저 밴드 돌파 n=65, k=2.2 |
-1.9% | -95.1% | 0.21 | -0.02 | 0.5x | 100 | 25% |
| MACD fast=20, slow=24, signal=17 |
-29.7% | -100.0% | -0.11 | -0.30 | 0.0x | 460 | 53% |
| Buy and hold | -3.2% | -98.9% | 0.43 | -0.03 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 15-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 15-day average falls below the 96-day average