Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fabrinet backtest
10 trend-following strategies were compared on the full daily history of Fabrinet. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.8%, drawdown -70.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.0%, MDD -76.2%, Sharpe 0.64, 84% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=69 |
20.0% | -76.2% | 0.64 | 0.26 | 18.8x | 34 | 84% |
| SMA 크로스오버 fast=26, slow=88 |
14.3% | -64.0% | 0.54 | 0.22 | 8.5x | 52 | 65% |
| EMA 크로스오버 fast=27, slow=188 |
13.2% | -43.1% | 0.52 | 0.31 | 7.4x | 26 | 71% |
| ROC 모멘텀 n=103, threshold=-0.04 |
9.7% | -60.9% | 0.43 | 0.16 | 4.5x | 156 | 73% |
| Supertrend period=28, mult=3.9 |
4.1% | -63.1% | 0.29 | 0.07 | 1.9x | 90 | 60% |
| Parabolic SAR step=0.02, maxStep=0.12 |
0.2% | -72.7% | 0.18 | 0.00 | 1.0x | 328 | 53% |
| ADX / DI 방향성 period=24, threshold=16 |
0.4% | -62.2% | 0.16 | 0.01 | 1.1x | 136 | 38% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=1.2 |
-5.2% | -75.1% | -0.02 | -0.07 | 0.4x | 184 | 47% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
-0.7% | -42.9% | -0.02 | -0.02 | 0.9x | 22 | 7% |
| MACD fast=9, slow=39, signal=12 |
-6.2% | -77.7% | -0.03 | -0.08 | 0.4x | 288 | 49% |
| Buy and hold | 25.8% | -70.5% | 0.71 | 0.37 | 40.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 69 days