Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KCC backtest
10 trend-following strategies were compared on the full daily history of KCC. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -50.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -50.1%, Sharpe 0.52, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 12.0%, MDD -50.1%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=216 |
12.0% | -50.1% | 0.52 | 0.24 | 20.1x | 35 | 51% |
| ROC 모멘텀 n=121, threshold=0.11 |
4.8% | -68.3% | 0.31 | 0.07 | 3.4x | 208 | 38% |
| EMA 크로스오버 fast=57, slow=61 |
4.6% | -72.2% | 0.30 | 0.06 | 3.3x | 66 | 50% |
| Donchian 채널 돌파 entryN=115, exitN=73 |
4.2% | -70.9% | 0.29 | 0.06 | 3.0x | 36 | 42% |
| ADX / DI 방향성 period=34, threshold=21 |
3.4% | -46.6% | 0.27 | 0.07 | 2.4x | 52 | 18% |
| Parabolic SAR step=0.015, maxStep=0.2 |
2.4% | -81.4% | 0.23 | 0.03 | 1.9x | 452 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=4 |
1.0% | -50.9% | 0.15 | 0.02 | 1.3x | 44 | 16% |
| MACD fast=14, slow=55, signal=8 |
-0.8% | -71.8% | 0.12 | -0.01 | 0.8x | 432 | 50% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
0.2% | -61.8% | 0.11 | 0.00 | 1.0x | 70 | 21% |
| Supertrend period=25, mult=4.8 |
-2.7% | -81.5% | 0.08 | -0.03 | 0.5x | 90 | 58% |
| Buy and hold | 7.3% | -87.1% | 0.38 | 0.08 | 6.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 51-day average falls below the 216-day average