Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shannon Semiconductor Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shannon Semiconductor Technology 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 Keltner 채널 돌파 (CAGR 27.9%, MDD -42.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 33.6%, drawdown -81.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 40.0%, MDD -67.2%, Sharpe 0.99, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 14.1%p (CAGR 27.9%, MDD -42.5%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.16 |
40.0% | -67.2% | 0.99 | 0.60 | 42.4x | 178 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=1.6 |
27.9% | -42.5% | 0.82 | 0.66 | 15.6x | 82 | 33% |
| Supertrend period=20, mult=2.3 |
28.1% | -45.5% | 0.80 | 0.62 | 15.8x | 102 | 44% |
| Donchian 채널 돌파 entryN=20, exitN=8 |
24.3% | -52.8% | 0.76 | 0.46 | 11.3x | 74 | 31% |
| ADX / DI 방향성 period=17, threshold=16 |
23.2% | -60.8% | 0.69 | 0.38 | 10.2x | 116 | 48% |
| MACD fast=6, slow=51, signal=9 |
22.1% | -63.0% | 0.69 | 0.35 | 9.3x | 226 | 50% |
| ROC 모멘텀 n=128, threshold=0.03 |
20.8% | -53.9% | 0.64 | 0.39 | 8.2x | 78 | 52% |
| EMA 크로스오버 fast=14, slow=173 |
20.8% | -58.1% | 0.64 | 0.36 | 8.2x | 25 | 57% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
19.5% | -56.7% | 0.64 | 0.34 | 7.3x | 66 | 41% |
| SMA 크로스오버 fast=57, slow=273 |
20.3% | -62.4% | 0.63 | 0.32 | 7.8x | 11 | 57% |
| Buy and hold | 33.6% | -81.2% | 0.79 | 0.41 | 25.1x | 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