Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fabrinet backtest
10 trend-following strategies were compared on the full daily history of Fabrinet. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.2%, drawdown -70.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -76.2%, Sharpe 0.59, 84% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=69 |
17.6% | -76.2% | 0.59 | 0.23 | 13.7x | 35 | 84% |
| SMA 크로스오버 fast=26, slow=88 |
14.2% | -64.0% | 0.54 | 0.22 | 8.5x | 52 | 64% |
| EMA 크로스오버 fast=27, slow=188 |
11.2% | -52.4% | 0.47 | 0.21 | 5.6x | 28 | 71% |
| ROC 모멘텀 n=103, threshold=-0.04 |
9.0% | -60.9% | 0.42 | 0.15 | 4.0x | 158 | 73% |
| Supertrend period=28, mult=3.9 |
1.8% | -63.1% | 0.23 | 0.03 | 1.3x | 92 | 60% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.5% | -72.7% | 0.16 | -0.01 | 0.9x | 330 | 53% |
| ADX / DI 방향성 period=24, threshold=16 |
-0.0% | -62.2% | 0.14 | -0.00 | 1.0x | 138 | 38% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
-0.7% | -42.9% | -0.02 | -0.02 | 0.9x | 22 | 7% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=1.2 |
-6.1% | -77.6% | -0.04 | -0.08 | 0.4x | 186 | 47% |
| MACD fast=9, slow=39, signal=12 |
-7.3% | -81.5% | -0.06 | -0.09 | 0.3x | 290 | 49% |
| Buy and hold | 25.2% | -70.5% | 0.70 | 0.36 | 38.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 69 days