Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sai MicroElectronics Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Sai MicroElectronics Inc. Class A. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.0%, drawdown -67.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.5%, MDD -36.4%, Sharpe 0.71, 7% exposure.
CAGR reference leader: Supertrend — CAGR 18.0%, MDD -62.0%, exposure 50%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=11, atrPeriod=11, mult=2.3 |
15.5% | -36.4% | 0.71 | 0.42 | 5.1x | 29 | 7% |
| Supertrend period=9, mult=3.1 |
18.0% | -62.0% | 0.61 | 0.29 | 6.5x | 65 | 50% |
| Parabolic SAR step=0.04, maxStep=0.12 |
14.9% | -57.6% | 0.55 | 0.26 | 4.8x | 279 | 50% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
11.0% | -52.7% | 0.49 | 0.21 | 3.2x | 32 | 21% |
| Donchian 채널 돌파 entryN=62, exitN=35 |
10.0% | -51.0% | 0.45 | 0.20 | 2.9x | 22 | 33% |
| ROC 모멘텀 n=60, threshold=0.11 |
7.3% | -50.7% | 0.38 | 0.14 | 2.2x | 98 | 30% |
| ADX / DI 방향성 period=15, threshold=26 |
6.9% | -47.7% | 0.38 | 0.15 | 2.1x | 62 | 23% |
| SMA 크로스오버 fast=48, slow=78 |
3.5% | -69.4% | 0.29 | 0.05 | 1.5x | 44 | 46% |
| EMA 크로스오버 fast=48, slow=67 |
1.4% | -71.5% | 0.25 | 0.02 | 1.2x | 26 | 50% |
| MACD fast=10, slow=61, signal=10 |
-3.9% | -81.7% | 0.10 | -0.05 | 0.6x | 177 | 48% |
| Buy and hold | 24.0% | -67.6% | 0.67 | 0.35 | 11.3x | 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 11-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average