Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Fiberhome Telecommunication Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Fiberhome Telecommunication Technologies Co., Ltd. Class A. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -42.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.3%, drawdown -82.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.9%, MDD -61.4%, Sharpe 0.44, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 6.2%, MDD -42.6%, exposure 21%).
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=39, threshold=12 |
8.9% | -61.4% | 0.44 | 0.14 | 8.5x | 126 | 32% |
| SMA 크로스오버 fast=36, slow=191 |
8.6% | -72.8% | 0.41 | 0.12 | 7.9x | 32 | 47% |
| EMA 크로스오버 fast=53, slow=232 |
7.8% | -73.2% | 0.39 | 0.11 | 6.5x | 23 | 48% |
| Donchian 채널 돌파 entryN=42, exitN=21 |
7.0% | -73.0% | 0.38 | 0.10 | 5.4x | 80 | 32% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3.3 |
6.2% | -42.6% | 0.37 | 0.15 | 4.5x | 56 | 21% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
5.6% | -48.4% | 0.35 | 0.12 | 3.9x | 66 | 20% |
| Supertrend period=20, mult=4.9 |
4.3% | -84.1% | 0.30 | 0.05 | 2.9x | 72 | 46% |
| ROC 모멘텀 n=89, threshold=0.04 |
3.4% | -86.1% | 0.27 | 0.04 | 2.3x | 232 | 41% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.1% | -77.5% | 0.17 | 0.00 | 1.0x | 319 | 51% |
| MACD fast=12, slow=34, signal=17 |
-1.4% | -76.5% | 0.12 | -0.02 | 0.7x | 345 | 51% |
| Buy and hold | 6.3% | -82.1% | 0.37 | 0.08 | 4.6x | 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, 39-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)