Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Advanced Fiber Resources Zhuhai Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Advanced Fiber Resources Zhuhai Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 41.2%, drawdown -59.4%).
Sharpe leader (same as main): Supertrend — CAGR 30.6%, MDD -59.0%, Sharpe 0.78, 59% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.4 |
30.6% | -59.0% | 0.78 | 0.52 | 12.2x | 42 | 59% |
| Parabolic SAR step=0.015, maxStep=0.08 |
27.4% | -67.3% | 0.74 | 0.41 | 9.7x | 136 | 48% |
| 볼린저 밴드 돌파 n=52, k=0.8 |
22.4% | -49.2% | 0.66 | 0.46 | 6.7x | 64 | 47% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=23, mult=2 |
20.0% | -40.2% | 0.64 | 0.50 | 5.5x | 52 | 32% |
| ADX / DI 방향성 period=38, threshold=8 |
19.8% | -68.6% | 0.61 | 0.29 | 5.5x | 82 | 67% |
| EMA 크로스오버 fast=9, slow=51 |
19.4% | -67.2% | 0.61 | 0.29 | 5.3x | 56 | 56% |
| SMA 크로스오버 fast=11, slow=70 |
19.3% | -62.1% | 0.60 | 0.31 | 5.2x | 46 | 56% |
| ROC 모멘텀 n=16, threshold=-0.04 |
18.9% | -62.6% | 0.60 | 0.30 | 5.1x | 208 | 65% |
| Donchian 채널 돌파 entryN=17, exitN=41 |
17.3% | -73.0% | 0.57 | 0.24 | 4.5x | 42 | 69% |
| MACD fast=18, slow=40, signal=14 |
11.4% | -61.2% | 0.47 | 0.19 | 2.8x | 110 | 50% |
| Buy and hold | 41.2% | -59.4% | 0.87 | 0.69 | 25.4x | 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) — 9-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)