Trend-Following Backtester · Guide · backtest 한국어
equity · IN
KEC International Ltd. backtest
10 trend-following strategies were compared on the full daily history of KEC International Ltd.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.4%, MDD -69.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 21.2%, drawdown -87.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.4%, MDD -69.2%, Sharpe 0.90, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 28.4%, MDD -69.2%, exposure 57%).
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=47, exitN=48 |
28.4% | -69.2% | 0.90 | 0.41 | 414.6x | 42 | 57% |
| ROC 모멘텀 n=79, threshold=-0.06 |
27.7% | -82.3% | 0.85 | 0.34 | 366.6x | 158 | 65% |
| EMA 크로스오버 fast=6, slow=67 |
24.9% | -77.2% | 0.81 | 0.32 | 212.8x | 134 | 58% |
| Supertrend period=5, mult=4.7 |
25.5% | -74.5% | 0.81 | 0.34 | 240.2x | 56 | 65% |
| SMA 크로스오버 fast=6, slow=104 |
23.8% | -81.3% | 0.79 | 0.29 | 174.5x | 96 | 58% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=16, mult=1 |
21.6% | -74.4% | 0.75 | 0.29 | 113.2x | 134 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.7 |
20.2% | -70.9% | 0.75 | 0.28 | 84.0x | 150 | 41% |
| ADX / DI 방향성 period=36, threshold=12 |
18.2% | -71.2% | 0.68 | 0.26 | 56.7x | 170 | 47% |
| MACD fast=20, slow=31, signal=22 |
17.8% | -79.9% | 0.67 | 0.22 | 52.5x | 241 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
12.2% | -84.0% | 0.52 | 0.15 | 16.2x | 190 | 56% |
| Buy and hold | 21.2% | -87.7% | 0.50 | 0.24 | 103.4x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 48 days