Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Fuyao Glass Industry Group Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Fuyao Glass Industry Group Co., Ltd. Class A. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.6%, MDD -57.0%).

Data 1993-06-10 ~ 2026-07-31daily bars 8,276 (33.1 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 11.8%, drawdown -80.7%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.6%, MDD -63.8%, Sharpe 0.65, 46% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 13.6%, MDD -57.0%, exposure 55%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=38, threshold=11
16.6%-63.8%0.650.26161.4x21946%
Supertrend
period=10, mult=4.7
16.5%-66.1%0.620.25155.6x9159%
볼린저 밴드 돌파
n=56, k=1.4
14.3%-65.1%0.600.2283.8x14941%
Donchian 채널 돌파
entryN=34, exitN=38
14.7%-73.7%0.590.2093.1x9154%
SMA 크로스오버
fast=14, slow=50
13.7%-64.0%0.570.2171.1x18554%
EMA 크로스오버
fast=46, slow=86
13.6%-57.0%0.560.2468.8x7655%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=26, mult=2.5
11.9%-68.5%0.540.1741.5x11335%
ROC 모멘텀
n=108, threshold=0.08
9.0%-56.3%0.440.1617.5x25843%
Parabolic SAR
step=0.005, maxStep=0.22
4.9%-61.5%0.310.084.9x26751%
MACD
fast=17, slow=33, signal=15
0.9%-73.5%0.190.011.3x43152%
Buy and hold11.8%-80.7%0.470.1540.4x1100%
1x 10x 100x 1994 1999 2004 2009 2014 2019 2024 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -61% -81% 1994 1999 2004 2009 2014 2019 2024 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -63.8% (1996-12-06 → 1999-12-24), recovered after 1,473 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next