Trend-Following Backtester · Guide · backtest 한국어
equity · CN
OmniVision Integrated Circuits Group, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of OmniVision Integrated Circuits Group, Inc. Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.5%, MDD -45.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 29.4%, drawdown -71.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.5%, MDD -45.2%, Sharpe 0.75, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.9%p lower than buy and hold, while drawdown improves by 26.5%p (CAGR 22.5%, MDD -45.2%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=82, slow=191 |
22.5% | -45.2% | 0.75 | 0.50 | 6.6x | 12 | 58% |
| MACD fast=13, slow=34, signal=11 |
20.4% | -57.7% | 0.71 | 0.35 | 5.6x | 130 | 48% |
| ADX / DI 방향성 period=39, threshold=28 |
12.0% | -25.4% | 0.68 | 0.47 | 2.9x | 4 | 9% |
| ROC 모멘텀 n=27, threshold=-0.04 |
20.0% | -46.3% | 0.67 | 0.43 | 5.5x | 126 | 64% |
| Parabolic SAR step=0.015, maxStep=0.2 |
19.1% | -69.7% | 0.67 | 0.27 | 5.1x | 156 | 48% |
| Donchian 채널 돌파 entryN=14, exitN=79 |
20.3% | -65.1% | 0.65 | 0.31 | 5.6x | 22 | 86% |
| Supertrend period=16, mult=2.4 |
17.5% | -51.6% | 0.64 | 0.34 | 4.5x | 74 | 52% |
| EMA 크로스오버 fast=35, slow=82 |
18.5% | -61.2% | 0.63 | 0.30 | 4.9x | 20 | 60% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=2.3 |
16.0% | -49.2% | 0.63 | 0.32 | 4.0x | 40 | 32% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
14.6% | -61.3% | 0.58 | 0.24 | 3.6x | 62 | 39% |
| Buy and hold | 29.4% | -71.7% | 0.78 | 0.41 | 11.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 82-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 82-day average falls below the 191-day average