Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Giga Device Semiconductor Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Giga Device Semiconductor Inc. Class A. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 51.7%, MDD -47.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 51.9%, drawdown -74.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 51.7%, MDD -47.9%, Sharpe 1.22, 54% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 26.9%p (CAGR 51.7%, MDD -47.9%, exposure 54%).
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=0.08 |
51.7% | -47.9% | 1.22 | 1.08 | 65.4x | 131 | 54% |
| Supertrend period=3, mult=2.3 |
46.7% | -64.9% | 1.11 | 0.72 | 46.8x | 98 | 61% |
| 볼린저 밴드 돌파 n=28, k=1.1 |
32.9% | -42.1% | 0.95 | 0.78 | 17.4x | 92 | 42% |
| MACD fast=14, slow=34, signal=11 |
32.4% | -47.0% | 0.91 | 0.69 | 16.7x | 133 | 48% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=12, mult=1.5 |
27.7% | -62.5% | 0.84 | 0.44 | 11.6x | 62 | 43% |
| ROC 모멘텀 n=13, threshold=0 |
28.2% | -64.7% | 0.82 | 0.44 | 12.1x | 240 | 48% |
| Donchian 채널 돌파 entryN=61, exitN=65 |
25.8% | -59.4% | 0.75 | 0.43 | 10.0x | 15 | 56% |
| ADX / DI 방향성 period=13, threshold=17 |
23.6% | -53.4% | 0.73 | 0.44 | 8.4x | 156 | 53% |
| SMA 크로스오버 fast=39, slow=101 |
21.0% | -66.1% | 0.67 | 0.32 | 6.8x | 26 | 52% |
| EMA 크로스오버 fast=47, slow=59 |
20.9% | -67.2% | 0.66 | 0.31 | 6.7x | 34 | 56% |
| Buy and hold | 51.9% | -74.8% | 1.04 | 0.69 | 66.2x | 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