Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Kraken Robotics Inc backtest
10 trend-following strategies were compared on the full daily history of Kraken Robotics Inc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 36.0%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 31.8%, MDD -67.7%, Sharpe 0.77, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, exitN=62 |
31.8% | -67.7% | 0.77 | 0.47 | 24.1x | 20 | 59% |
| SMA 크로스오버 fast=58, slow=137 |
29.9% | -66.0% | 0.76 | 0.45 | 20.3x | 24 | 56% |
| Supertrend period=10, mult=5 |
29.5% | -69.0% | 0.72 | 0.43 | 19.7x | 24 | 68% |
| EMA 크로스오버 fast=20, slow=38 |
26.1% | -78.0% | 0.69 | 0.33 | 14.5x | 56 | 53% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=35, mult=3.5 |
22.0% | -55.6% | 0.68 | 0.39 | 9.9x | 28 | 33% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
21.8% | -57.8% | 0.68 | 0.38 | 9.7x | 32 | 33% |
| ADX / DI 방향성 period=26, threshold=17 |
21.1% | -67.2% | 0.66 | 0.31 | 9.1x | 68 | 35% |
| ROC 모멘텀 n=112, threshold=0.22 |
19.2% | -45.6% | 0.60 | 0.42 | 7.6x | 72 | 38% |
| Parabolic SAR step=0.01, maxStep=0.22 |
15.4% | -83.8% | 0.52 | 0.18 | 5.2x | 128 | 49% |
| MACD fast=18, slow=42, signal=12 |
7.1% | -67.5% | 0.39 | 0.11 | 2.2x | 152 | 49% |
| Buy and hold | 36.0% | -71.2% | 0.77 | 0.50 | 34.4x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 62 days