Trend-Following Backtester · Guide · backtest 한국어
equity · DE
KION GROUP AG backtest
10 trend-following strategies were compared on the full daily history of KION GROUP AG. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.2%, MDD -23.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.9%, drawdown -81.3%).
Sharpe leader (same as main): Supertrend — CAGR 15.1%, MDD -37.6%, Sharpe 0.69, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 9.2%, MDD -23.7%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=3.7 |
15.1% | -37.6% | 0.69 | 0.40 | 6.3x | 53 | 56% |
| SMA 크로스오버 fast=28, slow=69 |
12.3% | -38.8% | 0.60 | 0.32 | 4.5x | 48 | 53% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=3 |
9.2% | -23.7% | 0.60 | 0.39 | 3.1x | 38 | 32% |
| 볼린저 밴드 돌파 n=52, k=1.4 |
9.9% | -30.4% | 0.57 | 0.33 | 3.4x | 56 | 40% |
| Donchian 채널 돌파 entryN=13, exitN=78 |
12.6% | -43.8% | 0.53 | 0.29 | 4.7x | 35 | 83% |
| ADX / DI 방향성 period=29, threshold=34 |
0.7% | -2.1% | 0.48 | 0.33 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.2 |
7.2% | -57.5% | 0.40 | 0.13 | 2.5x | 109 | 56% |
| EMA 크로스오버 fast=22, slow=23 |
4.8% | -50.6% | 0.31 | 0.10 | 1.9x | 74 | 55% |
| ROC 모멘텀 n=56, threshold=0.01 |
3.2% | -50.9% | 0.25 | 0.06 | 1.5x | 170 | 53% |
| MACD fast=31, slow=59, signal=10 |
2.8% | -47.1% | 0.23 | 0.06 | 1.4x | 133 | 50% |
| Buy and hold | 3.9% | -81.3% | 0.29 | 0.05 | 1.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)