Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Fameglow Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Fameglow Holdings Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 70.3%, MDD -67.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 67.9%, drawdown -89.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 69.7%, MDD -67.8%, Sharpe 1.12, 56% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 70.3%, MDD -67.1%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 70.3%, MDD -67.1%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=255 |
69.7% | -67.8% | 1.12 | 1.03 | 67.2x | 5 | 56% |
| EMA 크로스오버 fast=59, slow=215 |
63.5% | -58.8% | 1.05 | 1.08 | 50.0x | 7 | 57% |
| ADX / DI 방향성 period=37, threshold=18 |
70.3% | -67.1% | 1.03 | 1.05 | 69.3x | 17 | 52% |
| Supertrend period=20, mult=1.9 |
58.2% | -71.2% | 0.96 | 0.82 | 38.5x | 103 | 45% |
| 볼린저 밴드 돌파 n=39, k=1 |
47.7% | -65.7% | 0.87 | 0.73 | 22.2x | 49 | 50% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=37, mult=1.2 |
44.9% | -64.9% | 0.85 | 0.69 | 19.1x | 37 | 51% |
| Donchian 채널 돌파 entryN=32, exitN=71 |
44.3% | -68.1% | 0.84 | 0.65 | 18.5x | 21 | 74% |
| MACD fast=15, slow=41, signal=8 |
48.4% | -78.6% | 0.81 | 0.62 | 23.1x | 89 | 46% |
| ROC 모멘텀 n=22, threshold=0.01 |
34.1% | -70.4% | 0.74 | 0.48 | 10.3x | 131 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
26.5% | -71.7% | 0.66 | 0.37 | 6.5x | 69 | 44% |
| Buy and hold | 67.9% | -89.4% | 0.96 | 0.76 | 61.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 255-day average
- Sell — Sell (to cash) when the 58-day average falls below the 255-day average