Trend-Following Backtester · Guide · backtest 한국어
equity · CN
SG Micro Corp. Class A backtest
10 trend-following strategies were compared on the full daily history of SG Micro Corp. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 39.8%, drawdown -68.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 25.4%, MDD -50.8%, Sharpe 0.75, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.3%, MDD -68.7%, exposure 88%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=0.005, maxStep=0.34 |
25.4% | -50.8% | 0.75 | 0.50 | 7.9x | 78 | 53% |
| ADX / DI 방향성 period=16, threshold=26 |
20.8% | -53.0% | 0.75 | 0.39 | 5.6x | 48 | 28% |
| EMA 크로스오버 fast=76, slow=164 |
25.1% | -49.5% | 0.73 | 0.51 | 7.7x | 9 | 57% |
| Donchian 채널 돌파 entryN=7, exitN=69 |
26.3% | -68.7% | 0.72 | 0.38 | 8.5x | 29 | 88% |
| MACD fast=19, slow=42, signal=16 |
22.7% | -49.9% | 0.71 | 0.46 | 6.5x | 84 | 51% |
| ROC 모멘텀 n=30, threshold=0.13 |
18.6% | -57.6% | 0.66 | 0.32 | 4.8x | 130 | 30% |
| 볼린저 밴드 돌파 n=34, k=1.2 |
19.6% | -64.4% | 0.65 | 0.30 | 5.1x | 76 | 43% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=24, mult=1.6 |
18.6% | -65.8% | 0.65 | 0.28 | 4.8x | 58 | 36% |
| Supertrend period=25, mult=4.2 |
16.7% | -57.9% | 0.58 | 0.29 | 4.1x | 38 | 54% |
| SMA 크로스오버 fast=18, slow=93 |
16.4% | -76.7% | 0.57 | 0.21 | 4.0x | 31 | 55% |
| Buy and hold | 39.8% | -68.8% | 0.89 | 0.58 | 21.4x | 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