Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Sino-American Silicon Products Inc. backtest
10 trend-following strategies were compared on the full daily history of Sino-American Silicon Products Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.7%, MDD -36.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.3%, drawdown -86.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 16.4%, MDD -46.6%, Sharpe 0.67, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 14.7%, MDD -36.2%, exposure 41%).
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=0.01, maxStep=0.1 |
16.4% | -46.6% | 0.67 | 0.35 | 16.7x | 202 | 51% |
| 볼린저 밴드 돌파 n=18, k=1.1 |
14.7% | -36.2% | 0.64 | 0.41 | 12.7x | 240 | 41% |
| Donchian 채널 돌파 entryN=13, exitN=18 |
15.7% | -38.5% | 0.63 | 0.41 | 14.9x | 108 | 53% |
| MACD fast=20, slow=47, signal=18 |
12.8% | -59.0% | 0.55 | 0.22 | 9.4x | 166 | 51% |
| Supertrend period=13, mult=1.7 |
9.5% | -54.0% | 0.46 | 0.18 | 5.4x | 266 | 46% |
| SMA 크로스오버 fast=47, slow=149 |
9.5% | -62.9% | 0.45 | 0.15 | 5.4x | 27 | 56% |
| EMA 크로스오버 fast=40, slow=110 |
8.8% | -51.5% | 0.43 | 0.17 | 4.8x | 31 | 53% |
| ROC 모멘텀 n=95, threshold=-0.13 |
8.6% | -68.5% | 0.42 | 0.13 | 4.6x | 77 | 71% |
| ADX / DI 방향성 period=14, threshold=18 |
5.4% | -56.2% | 0.33 | 0.10 | 2.7x | 240 | 41% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=2.1 |
5.1% | -49.8% | 0.32 | 0.10 | 2.5x | 92 | 35% |
| Buy and hold | -1.3% | -86.3% | 0.19 | -0.02 | 0.8x | 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