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. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 38.3%, MDD -44.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 45.3%, drawdown -66.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 43.8%, MDD -59.3%, Sharpe 0.96, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 7.6%p (CAGR 38.3%, 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 |
43.8% | -59.3% | 0.96 | 0.74 | 11.4x | 131 | 48% |
| SMA 크로스오버 fast=24, slow=146 |
38.3% | -44.3% | 0.89 | 0.86 | 8.8x | 9 | 50% |
| MACD fast=12, slow=16, signal=10 |
37.3% | -50.2% | 0.87 | 0.74 | 8.4x | 125 | 49% |
| ADX / DI 방향성 period=5, threshold=39 |
32.1% | -46.1% | 0.83 | 0.70 | 6.5x | 124 | 32% |
| ROC 모멘텀 n=147, threshold=-0.06 |
33.5% | -60.2% | 0.81 | 0.56 | 6.9x | 35 | 59% |
| 볼린저 밴드 돌파 n=17, k=0.8 |
31.8% | -61.9% | 0.80 | 0.51 | 6.4x | 121 | 44% |
| EMA 크로스오버 fast=9, slow=172 |
28.5% | -52.5% | 0.75 | 0.54 | 5.4x | 13 | 51% |
| Donchian 채널 돌파 entryN=38, exitN=48 |
27.9% | -55.8% | 0.73 | 0.50 | 5.2x | 13 | 56% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=1 |
23.6% | -59.4% | 0.69 | 0.40 | 4.1x | 83 | 32% |
| Supertrend period=5, mult=4.9 |
21.1% | -77.6% | 0.63 | 0.27 | 3.6x | 17 | 87% |
| Buy and hold | 45.3% | -66.8% | 0.89 | 0.68 | 12.2x | 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