Trend-Following Backtester · Guide · backtest 한국어
equity · TW
FOCI Fiber Optic Communications, Inc. backtest
10 trend-following strategies were compared on the full daily history of FOCI Fiber Optic Communications, Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 23.5%, drawdown -76.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.6%, MDD -57.1%, Sharpe 0.56, 43% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 27.7%, MDD -63.1%, exposure 82%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=61 |
14.6% | -57.1% | 0.56 | 0.26 | 12.6x | 62 | 43% |
| SMA 크로스오버 fast=11, slow=23 |
13.5% | -53.3% | 0.55 | 0.25 | 10.5x | 186 | 43% |
| ADX / DI 방향성 period=25, threshold=11 |
11.1% | -67.7% | 0.48 | 0.16 | 7.1x | 148 | 50% |
| MACD fast=17, slow=28, signal=16 |
9.8% | -55.2% | 0.46 | 0.18 | 5.7x | 194 | 46% |
| Parabolic SAR step=0.015, maxStep=0.04 |
9.7% | -54.7% | 0.45 | 0.18 | 5.6x | 154 | 39% |
| 볼린저 밴드 돌파 n=52, k=1.3 |
9.0% | -54.2% | 0.43 | 0.17 | 4.9x | 84 | 33% |
| ROC 모멘텀 n=81, threshold=0.02 |
8.1% | -73.7% | 0.40 | 0.11 | 4.3x | 140 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=2.4 |
4.2% | -56.2% | 0.29 | 0.08 | 2.2x | 72 | 28% |
| Donchian 채널 돌파 entryN=12, exitN=53 |
27.7% | -63.1% | 0.29 | 0.44 | 93.4x | 66 | 82% |
| Supertrend period=7, mult=4.6 |
27.1% | -62.2% | 0.28 | 0.44 | 86.0x | 60 | 67% |
| Buy and hold | 23.5% | -76.1% | 0.29 | 0.31 | 50.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 61-day EMA
- Sell — Sell when the 16-day EMA falls below the 61-day EMA