Trend-Following Backtester · Guide · backtest 한국어
equity · CN
VeriSilicon Microelectronics (Shanghai) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of VeriSilicon Microelectronics (Shanghai) Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.5%, MDD -34.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.1%, drawdown -83.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 31.2%, MDD -38.5%, Sharpe 0.80, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.2%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 16.5%, MDD -34.6%, exposure 15%).
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=0.025, maxStep=0.08 |
31.2% | -38.5% | 0.80 | 0.81 | 5.2x | 92 | 42% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=1.2 |
30.0% | -44.2% | 0.78 | 0.68 | 4.9x | 40 | 35% |
| EMA 크로스오버 fast=45, slow=189 |
28.7% | -55.7% | 0.77 | 0.52 | 4.6x | 3 | 39% |
| SMA 크로스오버 fast=56, slow=186 |
28.6% | -55.7% | 0.75 | 0.51 | 4.6x | 7 | 51% |
| MACD fast=8, slow=51, signal=19 |
26.9% | -63.5% | 0.73 | 0.42 | 4.2x | 74 | 45% |
| 볼린저 밴드 돌파 n=16, k=1.3 |
25.5% | -45.0% | 0.73 | 0.57 | 3.9x | 80 | 34% |
| Supertrend period=29, mult=2.1 |
25.3% | -50.8% | 0.71 | 0.50 | 3.9x | 62 | 39% |
| ROC 모멘텀 n=96, threshold=0 |
24.5% | -57.2% | 0.68 | 0.43 | 3.7x | 36 | 50% |
| ADX / DI 방향성 period=13, threshold=35 |
16.5% | -34.6% | 0.63 | 0.48 | 2.5x | 16 | 15% |
| Donchian 채널 돌파 entryN=37, exitN=50 |
17.9% | -57.9% | 0.58 | 0.31 | 2.7x | 14 | 52% |
| Buy and hold | 5.1% | -83.3% | 0.41 | 0.06 | 1.3x | 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