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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Fiberhome Telecommunication Technologies Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Fiberhome Telecommunication Technologies Co., Ltd. Class A. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -42.6%).

Data 2001-08-23 ~ 2026-08-31daily bars 6,157 (25.0 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

4 of 10 beat buy and hold (CAGR 6.3%, drawdown -82.1%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.9%, MDD -61.4%, Sharpe 0.44, 32% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 6.2%, MDD -42.6%, exposure 21%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=39, threshold=12
8.9%-61.4%0.440.148.5x12632%
SMA 크로스오버
fast=36, slow=191
8.6%-72.8%0.410.127.9x3247%
EMA 크로스오버
fast=53, slow=232
7.8%-73.2%0.390.116.5x2348%
Donchian 채널 돌파
entryN=42, exitN=21
7.0%-73.0%0.380.105.4x8032%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=27, mult=3.3
6.2%-42.6%0.370.154.5x5621%
볼린저 밴드 돌파
n=44, k=2.5
5.6%-48.4%0.350.123.9x6620%
Supertrend
period=20, mult=4.9
4.3%-84.1%0.300.052.9x7246%
ROC 모멘텀
n=89, threshold=0.04
3.4%-86.1%0.270.042.3x23241%
Parabolic SAR
step=0.01, maxStep=0.14
0.1%-77.5%0.170.001.0x31951%
MACD
fast=12, slow=34, signal=17
-1.4%-76.5%0.12-0.020.7x34551%
Buy and hold6.3%-82.1%0.370.084.6x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -41% -62% -82% 2002 2006 2010 2014 2018 2022 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -61.4% (2015-06-04 → 2025-12-05), recovered after 3,996 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CN assetsAll asset reports

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