Trend-Following Backtester · Guide · backtest 한국어
equity · KW
National Bank of Kuwait K.S.C. backtest
10 trend-following strategies were compared on the full daily history of National Bank of Kuwait K.S.C.. 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 5.8%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -19.8%, MDD -100.0%, Sharpe 0.30, 88% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.9%, MDD -29.3%, exposure 22%.
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=25, exitN=187 |
-19.8% | -100.0% | 0.30 | -0.20 | 0.0x | 33 | 88% |
| SMA 크로스오버 fast=53, slow=148 |
-19.9% | -99.9% | 0.25 | -0.20 | 0.0x | 54 | 60% |
| ROC 모멘텀 n=137, threshold=-0.11 |
-23.9% | -100.0% | 0.22 | -0.24 | 0.0x | 158 | 84% |
| Supertrend period=3, mult=4.8 |
-25.3% | -100.0% | 0.18 | -0.25 | 0.0x | 165 | 53% |
| EMA 크로스오버 fast=55, slow=142 |
-24.6% | -100.0% | 0.14 | -0.25 | 0.0x | 38 | 62% |
| ADX / DI 방향성 period=27, threshold=22 |
0.9% | -29.3% | 0.14 | 0.03 | 1.3x | 100 | 22% |
| MACD fast=18, slow=23, signal=15 |
-34.8% | -100.0% | -0.08 | -0.35 | 0.0x | 359 | 49% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-21.7% | -99.9% | -0.23 | -0.22 | 0.0x | 365 | 52% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
-11.9% | -98.5% | -0.40 | -0.12 | 0.0x | 35 | 5% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3 |
-43.6% | -100.0% | -0.60 | -0.44 | 0.0x | 126 | 36% |
| Buy and hold | 5.8% | -100.0% | 0.20 | 0.06 | 4.5x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 187 days