Trend-Following Backtester · Guide · backtest 한국어
equity · BE
KBC Group N.V. backtest
10 trend-following strategies were compared on the full daily history of KBC Group N.V.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -27.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.5%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -56.6%, Sharpe 0.54, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 4.3%, MDD -27.8%, exposure 7%).
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=56, slow=141 |
11.1% | -56.6% | 0.54 | 0.20 | 16.4x | 37 | 59% |
| EMA 크로스오버 fast=35, slow=128 |
9.6% | -47.0% | 0.51 | 0.21 | 11.5x | 41 | 60% |
| ROC 모멘텀 n=134, threshold=0.07 |
9.0% | -42.3% | 0.51 | 0.21 | 9.8x | 204 | 48% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
4.3% | -27.8% | 0.45 | 0.15 | 3.1x | 24 | 7% |
| Donchian 채널 돌파 entryN=111, exitN=72 |
6.5% | -61.1% | 0.40 | 0.11 | 5.3x | 32 | 51% |
| Supertrend period=21, mult=4.4 |
6.2% | -60.7% | 0.36 | 0.10 | 4.9x | 97 | 57% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=2.6 |
3.8% | -40.6% | 0.33 | 0.09 | 2.7x | 74 | 12% |
| MACD fast=19, slow=58, signal=18 |
-1.0% | -93.9% | 0.11 | -0.01 | 0.8x | 275 | 50% |
| ADX / DI 방향성 period=24, threshold=29 |
0.3% | -20.7% | 0.08 | 0.02 | 1.1x | 34 | 5% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.4% | -77.6% | -0.01 | -0.04 | 0.4x | 235 | 54% |
| Buy and hold | 3.5% | -94.8% | 0.29 | 0.04 | 2.5x | 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 56-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 56-day average falls below the 141-day average