Trend-Following Backtester · Guide · backtest 한국어
equity · CN
KINGSEMI Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of KINGSEMI Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 34.1%, MDD -44.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 40.9%, drawdown -66.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 41.6%, MDD -59.3%, Sharpe 0.93, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 7.6%p (CAGR 34.1%, MDD -44.3%, exposure 50%).
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=0.025, maxStep=0.12 |
41.6% | -59.3% | 0.93 | 0.70 | 10.0x | 130 | 48% |
| ADX / DI 방향성 period=5, threshold=39 |
33.5% | -46.1% | 0.85 | 0.73 | 6.8x | 122 | 32% |
| SMA 크로스오버 fast=24, slow=146 |
34.1% | -44.3% | 0.83 | 0.77 | 7.0x | 9 | 50% |
| MACD fast=12, slow=16, signal=10 |
34.7% | -50.2% | 0.83 | 0.69 | 7.2x | 124 | 48% |
| 볼린저 밴드 돌파 n=17, k=0.8 |
30.5% | -61.9% | 0.78 | 0.49 | 5.8x | 120 | 44% |
| ROC 모멘텀 n=147, threshold=-0.06 |
29.4% | -60.2% | 0.75 | 0.49 | 5.5x | 35 | 59% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=1 |
23.9% | -59.4% | 0.69 | 0.40 | 4.1x | 82 | 32% |
| EMA 크로스오버 fast=9, slow=172 |
24.5% | -52.5% | 0.69 | 0.47 | 4.3x | 13 | 50% |
| Donchian 채널 돌파 entryN=38, exitN=48 |
23.9% | -55.8% | 0.67 | 0.43 | 4.1x | 13 | 56% |
| Supertrend period=5, mult=4.9 |
17.2% | -77.6% | 0.58 | 0.22 | 2.9x | 17 | 86% |
| Buy and hold | 40.9% | -66.8% | 0.84 | 0.61 | 9.7x | 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