Trend-Following Backtester · Guide · backtest 한국어
equity · JP
KRAFTIA CORPORATION backtest
10 trend-following strategies were compared on the full daily history of KRAFTIA CORPORATION. 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 13.4%, drawdown -60.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -49.3%, Sharpe 0.62, 56% 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=86, exitN=68 |
12.1% | -49.3% | 0.62 | 0.25 | 18.6x | 30 | 56% |
| SMA 크로스오버 fast=50, slow=182 |
11.0% | -52.2% | 0.54 | 0.21 | 14.6x | 35 | 59% |
| EMA 크로스오버 fast=42, slow=118 |
10.4% | -71.2% | 0.53 | 0.15 | 12.6x | 47 | 60% |
| ROC 모멘텀 n=198, threshold=0.11 |
9.6% | -51.3% | 0.52 | 0.19 | 10.5x | 115 | 46% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=28, mult=3 |
7.8% | -36.2% | 0.49 | 0.22 | 6.8x | 72 | 36% |
| Supertrend period=13, mult=3.7 |
6.0% | -54.8% | 0.38 | 0.11 | 4.5x | 134 | 54% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
5.5% | -44.2% | 0.37 | 0.12 | 4.0x | 124 | 43% |
| ADX / DI 방향성 period=39, threshold=17 |
3.9% | -46.7% | 0.32 | 0.08 | 2.6x | 78 | 23% |
| MACD fast=20, slow=35, signal=22 |
2.7% | -58.9% | 0.23 | 0.05 | 2.0x | 252 | 52% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.3% | -74.5% | 0.09 | -0.00 | 0.9x | 318 | 54% |
| Buy and hold | 13.4% | -60.0% | 0.56 | 0.22 | 24.8x | 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 86 days
- Sell — Sell when price breaks below the lowest low of the last 68 days