Trend-Following Backtester · Guide · backtest 한국어
equity · US
Forum Energy Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Forum Energy Technologies, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -12.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.0%, drawdown -99.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.9%, MDD -51.3%, Sharpe 0.64, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.9%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 1.8%, MDD -12.5%, exposure 1%).
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 n=163, threshold=-0.02 |
16.9% | -51.3% | 0.64 | 0.33 | 9.5x | 63 | 46% |
| SMA 크로스오버 fast=59, slow=205 |
8.1% | -61.1% | 0.40 | 0.13 | 3.1x | 17 | 42% |
| Donchian 채널 돌파 entryN=11, exitN=40 |
6.2% | -82.8% | 0.37 | 0.08 | 2.4x | 67 | 73% |
| ADX / DI 방향성 period=34, threshold=35 |
1.8% | -12.5% | 0.36 | 0.14 | 1.3x | 2 | 1% |
| EMA 크로스오버 fast=47, slow=136 |
6.3% | -70.2% | 0.35 | 0.09 | 2.4x | 21 | 42% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
6.9% | -41.1% | 0.34 | 0.17 | 2.6x | 38 | 8% |
| Parabolic SAR step=0.02, maxStep=0.14 |
3.0% | -86.6% | 0.28 | 0.03 | 1.5x | 294 | 47% |
| MACD fast=21, slow=35, signal=9 |
0.1% | -93.0% | 0.24 | 0.00 | 1.0x | 214 | 51% |
| Supertrend period=8, mult=2.6 |
0.9% | -75.8% | 0.23 | 0.01 | 1.1x | 123 | 50% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=22, mult=2.1 |
2.6% | -43.2% | 0.20 | 0.06 | 1.5x | 30 | 5% |
| Buy and hold | -11.0% | -99.6% | 0.18 | -0.11 | 0.2x | 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 163-day return is greater than -2%
- Sell — Sell when the 163-day return drops to -2% or below