Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Bright Power Semiconductor Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Bright Power Semiconductor Co., Ltd. Class A. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.5%, MDD -49.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.8%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 37.5%, MDD -54.2%, Sharpe 0.89, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.7%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 28.5%, MDD -49.7%, exposure 33%).
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=46, slow=116 |
37.5% | -54.2% | 0.89 | 0.69 | 8.7x | 11 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=2.4 |
31.9% | -51.2% | 0.85 | 0.62 | 6.6x | 22 | 31% |
| Donchian 채널 돌파 entryN=42, exitN=105 |
36.5% | -59.3% | 0.83 | 0.62 | 8.3x | 5 | 70% |
| Supertrend period=27, mult=4.4 |
33.7% | -66.6% | 0.83 | 0.51 | 7.2x | 20 | 48% |
| ROC 모멘텀 n=144, threshold=-0.01 |
32.0% | -64.7% | 0.80 | 0.50 | 6.6x | 31 | 54% |
| 볼린저 밴드 돌파 n=38, k=1.8 |
28.5% | -49.7% | 0.78 | 0.57 | 5.5x | 32 | 33% |
| MACD fast=13, slow=50, signal=6 |
30.1% | -67.6% | 0.78 | 0.45 | 6.0x | 108 | 50% |
| EMA 크로스오버 fast=48, slow=189 |
26.5% | -60.1% | 0.73 | 0.44 | 4.9x | 5 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
26.3% | -71.6% | 0.73 | 0.37 | 4.9x | 118 | 48% |
| ADX / DI 방향성 period=9, threshold=16 |
27.2% | -71.3% | 0.72 | 0.38 | 5.1x | 136 | 56% |
| Buy and hold | 10.8% | -90.2% | 0.49 | 0.12 | 2.0x | 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 46-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 46-day average falls below the 116-day average