Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SFA반도체 backtest
10 trend-following strategies were compared on the full daily history of SFA반도체. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -68.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -90.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.8%, MDD -78.6%, Sharpe 0.41, 71% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 12.3%p (CAGR 6.5%, MDD -68.5%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=78 |
8.8% | -78.6% | 0.41 | 0.11 | 8.3x | 54 | 71% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=1.2 |
8.7% | -78.1% | 0.41 | 0.11 | 8.3x | 208 | 33% |
| SMA 크로스오버 fast=37, slow=144 |
6.4% | -85.7% | 0.36 | 0.07 | 4.8x | 54 | 46% |
| 볼린저 밴드 돌파 n=43, k=2.1 |
6.5% | -68.5% | 0.35 | 0.10 | 4.9x | 108 | 27% |
| ROC 모멘텀 n=75, threshold=0.07 |
5.5% | -82.6% | 0.33 | 0.07 | 3.9x | 238 | 37% |
| Supertrend period=17, mult=2.9 |
5.2% | -76.9% | 0.32 | 0.07 | 3.6x | 164 | 42% |
| MACD fast=18, slow=59, signal=14 |
3.5% | -88.3% | 0.29 | 0.04 | 2.4x | 274 | 52% |
| EMA 크로스오버 fast=24, slow=49 |
2.9% | -89.0% | 0.27 | 0.03 | 2.1x | 104 | 44% |
| ADX / DI 방향성 period=11, threshold=28 |
2.6% | -70.9% | 0.23 | 0.04 | 1.9x | 216 | 22% |
| Parabolic SAR step=0.015, maxStep=0.42 |
1.0% | -87.6% | 0.22 | 0.01 | 1.3x | 424 | 47% |
| Buy and hold | -4.2% | -90.8% | 0.21 | -0.05 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 78 days