Trend-Following Backtester · Guide · backtest 한국어
equity · US
FedEx Corporation backtest
10 trend-following strategies were compared on the full daily history of FedEx Corporation. 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 13.3%, drawdown -71.7%).
Sharpe leader (same as main): Supertrend — CAGR 7.9%, MDD -55.3%, Sharpe 0.44, 55% 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=10, mult=4.2 |
7.9% | -55.3% | 0.44 | 0.14 | 39.0x | 229 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=4 |
5.6% | -46.4% | 0.43 | 0.12 | 14.2x | 126 | 25% |
| SMA 크로스오버 fast=32, slow=279 |
7.7% | -71.3% | 0.43 | 0.11 | 35.7x | 71 | 64% |
| Donchian 채널 돌파 entryN=52, exitN=28 |
6.7% | -59.4% | 0.42 | 0.11 | 22.6x | 167 | 45% |
| MACD fast=19, slow=46, signal=31 |
6.4% | -70.3% | 0.38 | 0.09 | 20.3x | 411 | 51% |
| EMA 크로스오버 fast=57, slow=160 |
6.3% | -75.9% | 0.37 | 0.08 | 19.3x | 71 | 64% |
| 볼린저 밴드 돌파 n=73, k=2.9 |
4.4% | -52.8% | 0.36 | 0.08 | 8.1x | 76 | 20% |
| ADX / DI 방향성 period=25, threshold=21 |
4.1% | -49.9% | 0.35 | 0.08 | 6.9x | 204 | 21% |
| ROC 모멘텀 n=51, threshold=-0.04 |
3.1% | -87.0% | 0.25 | 0.04 | 4.4x | 639 | 68% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.9% | -87.2% | 0.16 | 0.01 | 1.5x | 419 | 55% |
| Buy and hold | 13.3% | -71.7% | 0.54 | 0.19 | 426.0x | 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) — 10-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)