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 16.8%, MDD -34.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.5%, drawdown -83.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 37.8%, MDD -37.6%, Sharpe 0.90, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.3%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 16.8%, MDD -34.6%, exposure 16%).
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 |
37.8% | -37.6% | 0.90 | 1.01 | 6.7x | 90 | 42% |
| MACD fast=8, slow=51, signal=19 |
31.9% | -63.5% | 0.81 | 0.50 | 5.2x | 72 | 46% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=1.2 |
30.4% | -44.2% | 0.79 | 0.69 | 4.9x | 40 | 35% |
| ROC 모멘텀 n=96, threshold=0 |
30.5% | -57.2% | 0.77 | 0.53 | 4.9x | 32 | 50% |
| EMA 크로스오버 fast=45, slow=189 |
28.4% | -54.1% | 0.77 | 0.52 | 4.4x | 3 | 38% |
| SMA 크로스오버 fast=56, slow=186 |
28.3% | -54.1% | 0.75 | 0.52 | 4.4x | 7 | 50% |
| 볼린저 밴드 돌파 n=16, k=1.3 |
25.9% | -45.0% | 0.73 | 0.58 | 3.9x | 80 | 35% |
| Supertrend period=29, mult=2.1 |
25.7% | -50.8% | 0.71 | 0.51 | 3.9x | 62 | 39% |
| ADX / DI 방향성 period=13, threshold=35 |
16.8% | -34.6% | 0.63 | 0.49 | 2.5x | 16 | 16% |
| Donchian 채널 돌파 entryN=37, exitN=50 |
18.1% | -57.9% | 0.58 | 0.31 | 2.7x | 14 | 52% |
| Buy and hold | 4.5% | -83.3% | 0.40 | 0.05 | 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