Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Foxconn Industrial Internet Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Foxconn Industrial Internet Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.3%, MDD -34.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.1%, drawdown -68.4%).
Sharpe leader (same as main): Supertrend — CAGR 31.0%, MDD -45.0%, Sharpe 0.93, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 22.3%, MDD -34.3%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.2 |
31.0% | -45.0% | 0.93 | 0.69 | 9.0x | 38 | 48% |
| SMA 크로스오버 fast=16, slow=49 |
29.4% | -48.8% | 0.90 | 0.60 | 8.1x | 38 | 47% |
| MACD fast=22, slow=63, signal=24 |
27.9% | -39.7% | 0.88 | 0.70 | 7.4x | 50 | 52% |
| ADX / DI 방향성 period=22, threshold=26 |
22.7% | -40.6% | 0.86 | 0.56 | 5.3x | 20 | 18% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=21, mult=1.5 |
26.1% | -47.4% | 0.86 | 0.55 | 6.6x | 40 | 35% |
| 볼린저 밴드 돌파 n=27, k=2 |
22.9% | -53.5% | 0.84 | 0.43 | 5.4x | 46 | 27% |
| Donchian 채널 돌파 entryN=28, exitN=29 |
25.3% | -49.5% | 0.82 | 0.51 | 6.3x | 26 | 46% |
| ROC 모멘텀 n=51, threshold=0.09 |
22.3% | -34.3% | 0.78 | 0.65 | 5.1x | 52 | 31% |
| EMA 크로스오버 fast=25, slow=27 |
22.9% | -52.6% | 0.76 | 0.44 | 5.4x | 38 | 44% |
| Parabolic SAR step=0.005, maxStep=0.18 |
15.4% | -69.4% | 0.59 | 0.22 | 3.2x | 66 | 44% |
| Buy and hold | 10.1% | -68.4% | 0.45 | 0.15 | 2.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)