Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Giga Device Semiconductor Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Giga Device Semiconductor Inc. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 53.7%, MDD -47.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 51.3%, drawdown -74.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 53.7%, MDD -47.9%, Sharpe 1.26, 54% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 53.7%, MDD -47.9%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.08 |
53.7% | -47.9% | 1.26 | 1.12 | 71.9x | 130 | 54% |
| Supertrend period=3, mult=2.3 |
49.6% | -64.9% | 1.15 | 0.76 | 54.9x | 96 | 61% |
| 볼린저 밴드 돌파 n=28, k=1.1 |
33.2% | -42.1% | 0.96 | 0.79 | 17.4x | 92 | 42% |
| MACD fast=14, slow=34, signal=11 |
32.8% | -47.0% | 0.92 | 0.70 | 16.8x | 132 | 48% |
| ROC 모멘텀 n=13, threshold=0 |
30.6% | -64.7% | 0.87 | 0.47 | 14.3x | 234 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=12, mult=1.5 |
27.9% | -62.5% | 0.84 | 0.45 | 11.6x | 62 | 43% |
| ADX / DI 방향성 period=13, threshold=17 |
25.2% | -53.4% | 0.76 | 0.47 | 9.3x | 154 | 53% |
| Donchian 채널 돌파 entryN=61, exitN=65 |
25.2% | -58.7% | 0.74 | 0.43 | 9.3x | 15 | 56% |
| SMA 크로스오버 fast=39, slow=101 |
20.7% | -66.1% | 0.66 | 0.31 | 6.5x | 25 | 51% |
| EMA 크로스오버 fast=47, slow=59 |
20.4% | -67.2% | 0.65 | 0.30 | 6.4x | 33 | 56% |
| Buy and hold | 51.3% | -74.8% | 1.04 | 0.69 | 61.8x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots