Trend-Following Backtester · Guide · backtest 한국어

equity · KW

Kuwait Finance House K.S.C. backtest

10 trend-following strategies were compared on the full daily history of Kuwait Finance House K.S.C.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 2000-01-03 ~ 2026-07-30daily bars 6,378 (26.6 years)Costs 0.5%Venue KSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.2%, drawdown -100.0%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR -20.6%, MDD -100.0%, Sharpe 0.56, 95% exposure.

CAGR reference leader: ADX / DI 방향성 — CAGR 0.8%, MDD -18.3%, exposure 4%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=17, threshold=-0.09
-20.6%-100.0%0.56-0.210.0x19195%
SMA 크로스오버
fast=48, slow=146
-18.8%-100.0%0.43-0.190.0x5966%
Supertrend
period=3, mult=3.7
-33.3%-100.0%0.43-0.330.0x23757%
Donchian 채널 돌파
entryN=11, exitN=68
-43.3%-100.0%0.29-0.430.0x11187%
EMA 크로스오버
fast=38, slow=179
-34.9%-100.0%0.26-0.350.0x3971%
MACD
fast=20, slow=56, signal=17
-45.3%-100.0%0.24-0.450.0x24150%
ADX / DI 방향성
period=26, threshold=38
0.8%-18.3%0.180.051.2x164%
Parabolic SAR
step=0.03, maxStep=0.38
-59.2%-100.0%-0.20-0.590.0x46352%
볼린저 밴드 돌파
n=16, k=1.2
-59.6%-100.0%-0.22-0.600.0x37342%
Keltner 채널 돌파
emaPeriod=48, atrPeriod=19, mult=1.1
-62.1%-100.0%-0.52-0.620.0x22552%
Buy and hold9.2%-100.0%0.210.0910.3x1100%
0.001 0.01 0.1 1x 10x 2001 2005 2009 2013 2017 2021 2025 ADX / DI 방향성ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), ADX / DI 방향성 (CAGR reference), Buy and hold.
0% -25% -50% -75% -100% 2001 2005 2009 2013 2017 2021 2025 Buy and holdADX / DI 방향성ROC 모멘텀
ROC 모멘텀 maximum drawdown -100.0% (2011-03-21 → 2018-04-01), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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