Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Kelt Exploration Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kelt Exploration Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.1%, MDD -46.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.1%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -58.1%, Sharpe 0.60, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 15.1%, MDD -46.3%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=42, exitN=64 |
16.0% | -58.1% | 0.60 | 0.28 | 7.4x | 21 | 68% |
| SMA 크로스오버 fast=24, slow=64 |
15.1% | -46.3% | 0.59 | 0.33 | 6.7x | 45 | 61% |
| ROC 모멘텀 n=62, threshold=-0.03 |
14.1% | -57.7% | 0.56 | 0.24 | 6.0x | 119 | 66% |
| Supertrend period=20, mult=5 |
12.1% | -53.1% | 0.52 | 0.23 | 4.6x | 35 | 58% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
2.7% | -12.7% | 0.48 | 0.21 | 1.4x | 4 | 5% |
| EMA 크로스오버 fast=46, slow=152 |
7.3% | -62.8% | 0.39 | 0.12 | 2.6x | 27 | 55% |
| ADX / DI 방향성 period=37, threshold=21 |
3.0% | -29.5% | 0.33 | 0.10 | 1.5x | 20 | 12% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=20, mult=4 |
2.0% | -16.9% | 0.30 | 0.12 | 1.3x | 8 | 5% |
| MACD fast=18, slow=28, signal=16 |
1.9% | -67.2% | 0.23 | 0.03 | 1.3x | 165 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.6% | -71.6% | 0.15 | -0.01 | 0.9x | 247 | 53% |
| Buy and hold | 5.1% | -94.8% | 0.36 | 0.05 | 2.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 42 days
- Sell — Sell when price breaks below the lowest low of the last 64 days