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.. 5 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 27.3%, MDD -69.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 22.5%, drawdown -87.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.3%, MDD -69.2%, Sharpe 0.88, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 27.3%, 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=41, exitN=36 |
27.3% | -69.2% | 0.88 | 0.39 | 324.8x | 54 | 57% |
| Supertrend period=8, mult=4.4 |
24.7% | -74.5% | 0.79 | 0.33 | 199.5x | 60 | 65% |
| SMA 크로스오버 fast=9, slow=97 |
23.1% | -82.8% | 0.77 | 0.28 | 146.5x | 88 | 58% |
| EMA 크로스오버 fast=20, slow=39 |
22.7% | -79.4% | 0.77 | 0.29 | 134.2x | 100 | 58% |
| ROC 모멘텀 n=83, threshold=0.01 |
22.9% | -78.1% | 0.76 | 0.29 | 139.0x | 200 | 58% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=9, mult=1 |
21.9% | -74.5% | 0.76 | 0.29 | 115.6x | 126 | 53% |
| 볼린저 밴드 돌파 n=38, k=1.8 |
19.2% | -70.9% | 0.72 | 0.27 | 67.1x | 144 | 40% |
| MACD fast=26, slow=28, signal=19 |
18.7% | -79.6% | 0.69 | 0.23 | 60.9x | 234 | 51% |
| ADX / DI 방향성 period=39, threshold=12 |
17.0% | -71.2% | 0.65 | 0.24 | 43.2x | 168 | 47% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.3% | -84.0% | 0.53 | 0.15 | 16.2x | 190 | 56% |
| Buy and hold | 22.5% | -87.7% | 0.51 | 0.26 | 128.5x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 36 days