Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fulgent Genetics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fulgent Genetics, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.9%, MDD -57.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.1%, drawdown -92.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.5%, MDD -77.5%, Sharpe 0.68, 35% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 19.4%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 18.9%, MDD -57.9%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=96, slow=163 |
25.5% | -77.5% | 0.68 | 0.33 | 9.4x | 4 | 35% |
| ROC 모멘텀 n=144, threshold=0.1 |
23.1% | -73.1% | 0.65 | 0.32 | 7.7x | 38 | 34% |
| ADX / DI 방향성 period=51, threshold=12 |
20.6% | -74.1% | 0.61 | 0.28 | 6.3x | 35 | 32% |
| Donchian 채널 돌파 entryN=152, exitN=59 |
18.9% | -57.9% | 0.60 | 0.33 | 5.5x | 6 | 22% |
| SMA 크로스오버 fast=58, slow=215 |
18.4% | -86.3% | 0.58 | 0.21 | 5.2x | 10 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
9.2% | -81.6% | 0.43 | 0.11 | 2.4x | 78 | 48% |
| Supertrend period=12, mult=3.2 |
7.9% | -81.4% | 0.41 | 0.10 | 2.1x | 53 | 49% |
| 볼린저 밴드 돌파 n=62, k=1 |
6.7% | -72.7% | 0.38 | 0.09 | 1.9x | 47 | 38% |
| MACD fast=22, slow=43, signal=19 |
3.8% | -85.2% | 0.34 | 0.04 | 1.4x | 92 | 52% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=24, mult=2.9 |
2.0% | -52.7% | 0.22 | 0.04 | 1.2x | 24 | 9% |
| Buy and hold | 6.1% | -92.5% | 0.46 | 0.07 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 96-day EMA crosses above the 163-day EMA
- Sell — Sell when the 96-day EMA falls below the 163-day EMA