Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alpha and Omega Semiconductor Limited backtest
10 trend-following strategies were compared on the full daily history of Alpha and Omega Semiconductor Limited. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -28.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.6%, drawdown -75.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.0%, MDD -47.4%, Sharpe 0.45, 19% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 4.9%, MDD -28.5%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=68, k=3 |
9.0% | -47.4% | 0.45 | 0.19 | 4.1x | 24 | 19% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=14, mult=4 |
7.2% | -47.2% | 0.42 | 0.15 | 3.1x | 24 | 11% |
| ADX / DI 방향성 period=26, threshold=27 |
4.9% | -28.5% | 0.33 | 0.17 | 2.2x | 18 | 7% |
| MACD fast=20, slow=65, signal=13 |
5.0% | -75.9% | 0.32 | 0.07 | 2.2x | 194 | 49% |
| EMA 크로스오버 fast=37, slow=207 |
4.2% | -79.3% | 0.30 | 0.05 | 2.0x | 27 | 37% |
| Parabolic SAR step=0.025, maxStep=0.08 |
3.6% | -71.4% | 0.29 | 0.05 | 1.8x | 284 | 50% |
| Donchian 채널 돌파 entryN=17, exitN=62 |
1.2% | -79.9% | 0.26 | 0.01 | 1.2x | 49 | 77% |
| SMA 크로스오버 fast=32, slow=109 |
1.3% | -72.9% | 0.23 | 0.02 | 1.2x | 45 | 45% |
| ROC 모멘텀 n=82, threshold=0.04 |
-0.7% | -75.1% | 0.17 | -0.01 | 0.9x | 185 | 39% |
| Supertrend period=16, mult=3.9 |
-2.5% | -80.9% | 0.14 | -0.03 | 0.7x | 74 | 50% |
| Buy and hold | 3.6% | -75.3% | 0.34 | 0.05 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 68-day average (3× volatility)
- Sell — Sell when the close falls back to the 68-day middle average