Trend-Following Backtester · Guide · backtest 한국어
equity · US
FIGS, Inc. backtest
10 trend-following strategies were compared on the full daily history of FIGS, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.6%, MDD -16.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.1%, drawdown -92.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.6%, MDD -16.4%, Sharpe 0.58, 8% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 14.5%, MDD -46.0%, exposure 23%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.7%p higher than buy and hold, while drawdown improves by 76.4%p (CAGR 7.6%, MDD -16.4%, exposure 8%).
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=27, threshold=25 |
7.6% | -16.4% | 0.58 | 0.47 | 1.5x | 6 | 8% |
| EMA 크로스오버 fast=58, slow=216 |
14.5% | -46.0% | 0.57 | 0.32 | 2.0x | 3 | 23% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=3.5 |
5.6% | -26.4% | 0.39 | 0.21 | 1.3x | 7 | 12% |
| ROC 모멘텀 n=118, threshold=0.24 |
6.7% | -35.1% | 0.38 | 0.19 | 1.4x | 26 | 18% |
| SMA 크로스오버 fast=41, slow=180 |
7.0% | -41.9% | 0.37 | 0.17 | 1.4x | 8 | 30% |
| Parabolic SAR step=0.015, maxStep=0.14 |
4.0% | -65.1% | 0.31 | 0.06 | 1.2x | 87 | 46% |
| Supertrend period=8, mult=3.4 |
2.6% | -79.5% | 0.29 | 0.03 | 1.1x | 29 | 53% |
| Donchian 채널 돌파 entryN=114, exitN=55 |
2.8% | -40.5% | 0.26 | 0.07 | 1.2x | 4 | 24% |
| MACD fast=17, slow=58, signal=19 |
1.2% | -61.3% | 0.24 | 0.02 | 1.1x | 45 | 46% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
2.4% | -17.0% | 0.24 | 0.14 | 1.1x | 5 | 3% |
| Buy and hold | -12.1% | -92.8% | 0.17 | -0.13 | 0.5x | 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, 27-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)