Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Foxconn Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Foxconn Technology Co., Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -40.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.2%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -55.8%, Sharpe 0.51, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 8.0%, MDD -40.4%, exposure 20%).
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=36, slow=94 |
11.4% | -55.8% | 0.51 | 0.20 | 17.7x | 73 | 50% |
| 볼린저 밴드 돌파 n=44, k=2.7 |
8.0% | -40.4% | 0.49 | 0.20 | 7.9x | 65 | 20% |
| MACD fast=54, slow=72, signal=28 |
10.1% | -72.8% | 0.48 | 0.14 | 13.1x | 127 | 51% |
| Donchian 채널 돌파 entryN=19, exitN=55 |
9.7% | -71.1% | 0.45 | 0.14 | 11.9x | 73 | 70% |
| EMA 크로스오버 fast=18, slow=125 |
7.3% | -72.5% | 0.39 | 0.10 | 6.5x | 69 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=4 |
4.5% | -53.1% | 0.32 | 0.08 | 3.2x | 64 | 21% |
| ADX / DI 방향성 period=33, threshold=30 |
2.4% | -18.8% | 0.32 | 0.13 | 1.9x | 16 | 5% |
| Supertrend period=20, mult=5 |
4.2% | -89.6% | 0.29 | 0.05 | 3.0x | 89 | 52% |
| ROC 모멘텀 n=81, threshold=0.14 |
3.4% | -89.1% | 0.26 | 0.04 | 2.4x | 220 | 28% |
| Parabolic SAR step=0.01, maxStep=0.34 |
2.8% | -67.7% | 0.24 | 0.04 | 2.1x | 309 | 49% |
| Buy and hold | 4.2% | -83.5% | 0.31 | 0.05 | 3.0x | 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 36-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 36-day average falls below the 94-day average