Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shannon Semiconductor Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shannon Semiconductor Technology Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 27.7%, MDD -42.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 35.7%, drawdown -81.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 39.9%, MDD -67.2%, Sharpe 0.98, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 14.1%p (CAGR 27.7%, MDD -42.5%, exposure 32%).
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=0.015, maxStep=0.16 |
39.9% | -67.2% | 0.98 | 0.59 | 43.4x | 181 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=1.6 |
27.7% | -42.5% | 0.82 | 0.65 | 15.6x | 82 | 32% |
| Supertrend period=20, mult=2.3 |
27.8% | -45.5% | 0.80 | 0.61 | 15.8x | 102 | 43% |
| Donchian 채널 돌파 entryN=20, exitN=8 |
24.1% | -52.8% | 0.76 | 0.46 | 11.3x | 74 | 31% |
| MACD fast=6, slow=51, signal=9 |
23.1% | -63.0% | 0.70 | 0.37 | 10.3x | 227 | 51% |
| ADX / DI 방향성 period=17, threshold=16 |
23.3% | -60.8% | 0.69 | 0.38 | 10.5x | 117 | 48% |
| SMA 크로스오버 fast=57, slow=273 |
22.3% | -62.4% | 0.66 | 0.36 | 9.6x | 11 | 57% |
| ROC 모멘텀 n=128, threshold=0.03 |
21.7% | -53.9% | 0.66 | 0.40 | 9.0x | 79 | 52% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
19.3% | -56.7% | 0.63 | 0.34 | 7.3x | 66 | 41% |
| EMA 크로스오버 fast=14, slow=173 |
19.7% | -58.1% | 0.62 | 0.34 | 7.5x | 26 | 56% |
| Buy and hold | 35.7% | -81.2% | 0.82 | 0.44 | 30.7x | 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