Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Hon Hai Precision Industry Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hon Hai Precision Industry Co., Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.0%, MDD -55.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.9%, drawdown -75.6%).
Sharpe leader (same as main): Supertrend — CAGR 21.0%, MDD -55.5%, Sharpe 0.70, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 21.0%, MDD -55.5%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=4, mult=3.8 |
21.0% | -55.5% | 0.70 | 0.38 | 608.8x | 183 | 56% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
18.5% | -56.7% | 0.69 | 0.33 | 305.4x | 88 | 33% |
| Donchian 채널 돌파 entryN=113, exitN=28 |
13.2% | -42.6% | 0.68 | 0.31 | 64.6x | 60 | 33% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=2.7 |
17.2% | -55.1% | 0.64 | 0.31 | 208.3x | 122 | 38% |
| SMA 크로스오버 fast=11, slow=51 |
14.9% | -78.9% | 0.55 | 0.19 | 106.2x | 197 | 56% |
| ADX / DI 방향성 period=22, threshold=16 |
11.6% | -68.5% | 0.48 | 0.17 | 39.9x | 276 | 39% |
| EMA 크로스오버 fast=49, slow=110 |
12.0% | -82.5% | 0.48 | 0.15 | 45.6x | 65 | 57% |
| Parabolic SAR step=0.005, maxStep=0.22 |
11.4% | -55.4% | 0.46 | 0.21 | 38.4x | 241 | 54% |
| ROC 모멘텀 n=131, threshold=0.11 |
11.3% | -55.9% | 0.46 | 0.20 | 37.1x | 235 | 41% |
| MACD fast=15, slow=56, signal=18 |
7.2% | -70.9% | 0.39 | 0.10 | 10.2x | 378 | 51% |
| Buy and hold | 18.9% | -75.6% | 0.60 | 0.25 | 340.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 4-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)