Trend-Following Backtester · Guide · backtest 한국어
equity · US
Forestar Group Inc backtest
10 trend-following strategies were compared on the full daily history of Forestar Group Inc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.0%, MDD -11.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.8%, drawdown -89.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.0%, MDD -11.1%, Sharpe 0.61, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.1%, MDD -56.1%, exposure 66%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 78.7%p (CAGR 4.0%, MDD -11.1%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=3.3 |
4.0% | -11.1% | 0.61 | 0.36 | 2.1x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=17, mult=2.3 |
3.3% | -25.4% | 0.49 | 0.13 | 1.8x | 28 | 5% |
| Donchian 채널 돌파 entryN=28, exitN=63 |
10.1% | -56.1% | 0.45 | 0.18 | 6.0x | 49 | 66% |
| ROC 모멘텀 n=134, threshold=0.17 |
6.3% | -47.0% | 0.40 | 0.13 | 3.1x | 96 | 32% |
| Supertrend period=18, mult=3 |
7.2% | -62.8% | 0.38 | 0.11 | 3.6x | 118 | 49% |
| SMA 크로스오버 fast=14, slow=176 |
6.0% | -49.8% | 0.35 | 0.12 | 2.9x | 37 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.3% | -56.9% | 0.32 | 0.09 | 2.6x | 158 | 50% |
| EMA 크로스오버 fast=41, slow=124 |
4.2% | -54.3% | 0.29 | 0.08 | 2.2x | 33 | 54% |
| MACD fast=13, slow=36, signal=16 |
2.8% | -84.4% | 0.25 | 0.03 | 1.7x | 252 | 49% |
| ADX / DI 방향성 period=20, threshold=26 |
1.4% | -43.6% | 0.17 | 0.03 | 1.3x | 64 | 16% |
| Buy and hold | 0.8% | -89.8% | 0.27 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 34-day middle average