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 47.4%, drawdown -59.4%).
Sharpe leader (same as main): Supertrend — CAGR 30.7%, 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 |
30.7% | -59.0% | 0.78 | 0.52 | 12.6x | 43 | 59% |
| Parabolic SAR step=0.015, maxStep=0.08 |
28.6% | -67.3% | 0.76 | 0.42 | 10.8x | 138 | 49% |
| 볼린저 밴드 돌파 n=52, k=0.8 |
22.2% | -49.2% | 0.66 | 0.45 | 6.7x | 64 | 47% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=23, mult=2 |
19.8% | -40.2% | 0.64 | 0.49 | 5.5x | 52 | 32% |
| ROC 모멘텀 n=16, threshold=-0.04 |
20.0% | -62.6% | 0.61 | 0.32 | 5.6x | 209 | 65% |
| EMA 크로스오버 fast=9, slow=51 |
19.4% | -67.2% | 0.61 | 0.29 | 5.3x | 57 | 56% |
| SMA 크로스오버 fast=11, slow=70 |
18.8% | -62.1% | 0.60 | 0.30 | 5.1x | 47 | 56% |
| ADX / DI 방향성 period=38, threshold=8 |
18.6% | -68.6% | 0.59 | 0.27 | 5.0x | 87 | 67% |
| Donchian 채널 돌파 entryN=17, exitN=41 |
17.5% | -73.0% | 0.57 | 0.24 | 4.6x | 43 | 69% |
| MACD fast=18, slow=40, signal=14 |
12.6% | -61.2% | 0.49 | 0.21 | 3.1x | 111 | 50% |
| Buy and hold | 47.4% | -59.4% | 0.94 | 0.80 | 39.5x | 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)