Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Silan Microelectronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Silan Microelectronics Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.6%, MDD -45.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.2%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.3%, MDD -59.7%, Sharpe 0.70, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 17.6%, MDD -45.0%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=77, exitN=89 |
21.3% | -59.7% | 0.70 | 0.36 | 93.9x | 25 | 57% |
| 볼린저 밴드 돌파 n=33, k=2.1 |
17.6% | -45.0% | 0.69 | 0.39 | 44.6x | 114 | 31% |
| SMA 크로스오버 fast=55, slow=195 |
18.4% | -62.1% | 0.64 | 0.30 | 52.6x | 25 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=2.7 |
14.7% | -47.2% | 0.62 | 0.31 | 25.0x | 76 | 23% |
| MACD fast=17, slow=32, signal=17 |
15.5% | -66.7% | 0.59 | 0.23 | 29.4x | 271 | 51% |
| Supertrend period=11, mult=4.5 |
15.6% | -74.8% | 0.58 | 0.21 | 29.8x | 74 | 55% |
| ADX / DI 방향성 period=18, threshold=25 |
11.4% | -50.6% | 0.54 | 0.23 | 12.7x | 104 | 22% |
| Parabolic SAR step=0.005, maxStep=0.22 |
13.5% | -61.7% | 0.54 | 0.22 | 19.7x | 175 | 50% |
| ROC 모멘텀 n=94, threshold=0 |
13.9% | -63.4% | 0.54 | 0.22 | 21.4x | 223 | 52% |
| EMA 크로스오버 fast=54, slow=147 |
13.9% | -77.6% | 0.54 | 0.18 | 21.4x | 33 | 56% |
| Buy and hold | 14.2% | -83.4% | 0.52 | 0.17 | 22.7x | 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 77 days
- Sell — Sell when price breaks below the lowest low of the last 89 days