Trend-Following Backtester · Guide · backtest 한국어
equity · TW
FOCI Fiber Optic Communications, Inc. backtest
10 trend-following strategies were compared on the full daily history of FOCI Fiber Optic Communications, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 26.4%, drawdown -76.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -53.3%, Sharpe 0.58, 43% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 28.5%, MDD -63.1%, exposure 82%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=11, slow=23 |
14.7% | -53.3% | 0.58 | 0.28 | 13.0x | 187 | 43% |
| EMA 크로스오버 fast=16, slow=61 |
14.6% | -57.1% | 0.56 | 0.25 | 12.6x | 62 | 43% |
| MACD fast=17, slow=28, signal=16 |
11.4% | -55.2% | 0.50 | 0.21 | 7.5x | 195 | 46% |
| ADX / DI 방향성 period=25, threshold=11 |
11.9% | -67.7% | 0.50 | 0.18 | 8.1x | 149 | 50% |
| Parabolic SAR step=0.015, maxStep=0.04 |
11.0% | -54.7% | 0.49 | 0.20 | 7.0x | 155 | 39% |
| 볼린저 밴드 돌파 n=52, k=1.3 |
9.3% | -54.2% | 0.44 | 0.17 | 5.2x | 85 | 33% |
| ROC 모멘텀 n=81, threshold=0.02 |
8.1% | -73.7% | 0.40 | 0.11 | 4.3x | 140 | 41% |
| Donchian 채널 돌파 entryN=12, exitN=53 |
28.5% | -63.1% | 0.29 | 0.45 | 108.4x | 67 | 82% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=2.4 |
4.2% | -56.2% | 0.29 | 0.07 | 2.2x | 72 | 28% |
| Supertrend period=7, mult=4.6 |
27.3% | -62.2% | 0.28 | 0.44 | 90.8x | 61 | 66% |
| Buy and hold | 26.4% | -76.1% | 0.29 | 0.35 | 79.1x | 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 11-day average price crosses above the 23-day average
- Sell — Sell (to cash) when the 11-day average falls below the 23-day average