Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Fuyao Glass Industry Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Fuyao Glass Industry Group Co., Ltd. Class A. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.6%, MDD -57.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.6%, drawdown -80.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.3%, MDD -63.8%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 13.6%, MDD -57.0%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=11 |
16.3% | -63.8% | 0.64 | 0.26 | 153.0x | 219 | 47% |
| Supertrend period=10, mult=4.7 |
16.2% | -66.1% | 0.61 | 0.25 | 147.5x | 91 | 59% |
| 볼린저 밴드 돌파 n=56, k=1.4 |
14.1% | -65.1% | 0.60 | 0.22 | 79.4x | 149 | 41% |
| Donchian 채널 돌파 entryN=34, exitN=38 |
14.4% | -73.7% | 0.58 | 0.20 | 88.2x | 91 | 54% |
| EMA 크로스오버 fast=46, slow=86 |
13.6% | -57.0% | 0.56 | 0.24 | 68.8x | 76 | 55% |
| SMA 크로스오버 fast=14, slow=50 |
13.5% | -64.0% | 0.56 | 0.21 | 67.4x | 185 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=2.5 |
11.6% | -68.5% | 0.53 | 0.17 | 38.0x | 114 | 35% |
| ROC 모멘텀 n=108, threshold=0.08 |
9.0% | -56.3% | 0.44 | 0.16 | 17.5x | 258 | 43% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.7% | -61.5% | 0.30 | 0.08 | 4.6x | 267 | 51% |
| MACD fast=17, slow=33, signal=15 |
0.5% | -73.5% | 0.17 | 0.01 | 1.2x | 434 | 52% |
| Buy and hold | 11.6% | -80.7% | 0.47 | 0.14 | 38.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)