Trend-Following Backtester · Guide · backtest 한국어
equity · CN
National Silicon Industry Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of National Silicon Industry Group Co. Ltd. Class A. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.6%, MDD -36.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.9%, drawdown -80.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.6%, MDD -36.7%, Sharpe 0.71, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 18.6%, MDD -36.7%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=2.9 |
18.6% | -36.7% | 0.71 | 0.51 | 2.9x | 10 | 8% |
| ADX / DI 방향성 period=12, threshold=27 |
18.6% | -54.6% | 0.63 | 0.34 | 2.9x | 46 | 23% |
| Supertrend period=23, mult=5 |
15.7% | -57.3% | 0.57 | 0.27 | 2.5x | 14 | 31% |
| Parabolic SAR step=0.01, maxStep=0.34 |
12.4% | -73.0% | 0.49 | 0.17 | 2.1x | 80 | 44% |
| ROC 모멘텀 n=13, threshold=0.1 |
9.3% | -58.7% | 0.43 | 0.16 | 1.7x | 72 | 16% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
6.8% | -54.5% | 0.37 | 0.13 | 1.5x | 40 | 31% |
| EMA 크로스오버 fast=12, slow=21 |
6.2% | -68.7% | 0.36 | 0.09 | 1.5x | 56 | 41% |
| Donchian 채널 돌파 entryN=108, exitN=10 |
5.3% | -30.0% | 0.33 | 0.18 | 1.4x | 10 | 10% |
| SMA 크로스오버 fast=50, slow=120 |
4.9% | -44.8% | 0.31 | 0.11 | 1.4x | 11 | 30% |
| MACD fast=22, slow=72, signal=17 |
4.0% | -66.2% | 0.29 | 0.06 | 1.3x | 48 | 45% |
| Buy and hold | 12.9% | -80.6% | 0.50 | 0.16 | 2.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 19-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average