Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Semiconductor Manufacturing International Corp. backtest
10 trend-following strategies were compared on the full daily history of Semiconductor Manufacturing International Corp.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 10.1%, MDD -55.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.8%, drawdown -95.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -66.5%, Sharpe 0.44, 49% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 10.1%, MDD -55.3%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=33, slow=157 |
10.5% | -66.5% | 0.44 | 0.16 | 9.4x | 50 | 49% |
| Parabolic SAR step=0.01, maxStep=0.42 |
10.1% | -55.3% | 0.43 | 0.18 | 8.6x | 243 | 46% |
| MACD fast=7, slow=55, signal=11 |
8.7% | -64.5% | 0.41 | 0.13 | 6.5x | 393 | 49% |
| 볼린저 밴드 돌파 n=29, k=1.1 |
7.9% | -64.8% | 0.38 | 0.12 | 5.6x | 218 | 36% |
| ROC 모멘텀 n=149, threshold=0.14 |
6.0% | -76.8% | 0.34 | 0.08 | 3.7x | 150 | 36% |
| Donchian 채널 돌파 entryN=62, exitN=61 |
5.3% | -75.0% | 0.33 | 0.07 | 3.2x | 42 | 50% |
| Supertrend period=12, mult=3 |
5.5% | -78.7% | 0.33 | 0.07 | 3.3x | 134 | 47% |
| EMA 크로스오버 fast=46, slow=84 |
4.0% | -78.0% | 0.29 | 0.05 | 2.4x | 56 | 48% |
| ADX / DI 방향성 period=26, threshold=12 |
2.3% | -72.5% | 0.25 | 0.03 | 1.7x | 222 | 48% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=17, mult=3 |
2.6% | -68.5% | 0.23 | 0.04 | 1.8x | 72 | 16% |
| Buy and hold | 4.8% | -95.3% | 0.35 | 0.05 | 2.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 33-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 33-day average falls below the 157-day average