Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Giantec Semiconductor Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Giantec Semiconductor Corporation Class A. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -28.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.2%, drawdown -66.7%).
Sharpe leader (same as main): MACD — CAGR 34.1%, MDD -53.6%, Sharpe 0.88, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 13.1%p (CAGR 10.6%, MDD -28.6%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=7, slow=22, signal=19 |
34.1% | -53.6% | 0.88 | 0.64 | 7.1x | 101 | 47% |
| SMA 크로스오버 fast=48, slow=269 |
18.3% | -52.6% | 0.60 | 0.35 | 3.1x | 5 | 48% |
| ROC 모멘텀 n=165, threshold=-0.03 |
16.5% | -49.5% | 0.56 | 0.33 | 2.8x | 47 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=14, mult=2.2 |
10.6% | -28.6% | 0.51 | 0.37 | 2.0x | 22 | 9% |
| Parabolic SAR step=0.015, maxStep=0.12 |
11.4% | -71.6% | 0.47 | 0.16 | 2.1x | 119 | 49% |
| EMA 크로스오버 fast=52, slow=220 |
9.9% | -67.3% | 0.44 | 0.15 | 1.9x | 7 | 51% |
| Supertrend period=24, mult=2.9 |
10.0% | -51.4% | 0.44 | 0.20 | 1.9x | 50 | 49% |
| Donchian 채널 돌파 entryN=100, exitN=127 |
2.2% | -82.5% | 0.31 | 0.03 | 1.2x | 7 | 62% |
| 볼린저 밴드 돌파 n=28, k=3.3 |
4.6% | -27.7% | 0.30 | 0.16 | 1.3x | 14 | 11% |
| ADX / DI 방향성 period=8, threshold=12 |
-2.6% | -70.9% | 0.20 | -0.04 | 0.8x | 179 | 53% |
| Buy and hold | 13.2% | -66.7% | 0.52 | 0.20 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (7/22) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line