Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Kuwait Telecommunications Co. backtest
10 trend-following strategies were compared on the full daily history of Kuwait Telecommunications Co.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.2%, MDD -21.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.3%, drawdown -53.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -35.2%, Sharpe 0.55, 9% exposure.
CAGR reference leader: Supertrend — CAGR 8.3%, MDD -39.4%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 5.2%, MDD -21.7%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=37 |
7.4% | -35.2% | 0.55 | 0.21 | 1.9x | 6 | 9% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=3.8 |
5.2% | -21.7% | 0.48 | 0.24 | 1.5x | 8 | 6% |
| Supertrend period=16, mult=4.3 |
8.3% | -39.4% | 0.48 | 0.21 | 2.0x | 28 | 55% |
| SMA 크로스오버 fast=76, slow=142 |
7.2% | -54.3% | 0.45 | 0.13 | 1.8x | 14 | 53% |
| Parabolic SAR step=0.01, maxStep=0.2 |
6.1% | -37.2% | 0.38 | 0.16 | 1.7x | 94 | 47% |
| Donchian 채널 돌파 entryN=93, exitN=8 |
4.9% | -30.1% | 0.38 | 0.16 | 1.5x | 30 | 17% |
| ROC 모멘텀 n=8, threshold=0.11 |
2.3% | -17.5% | 0.27 | 0.13 | 1.2x | 8 | 2% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
3.1% | -42.9% | 0.26 | 0.07 | 1.3x | 28 | 23% |
| EMA 크로스오버 fast=20, slow=70 |
2.2% | -54.9% | 0.21 | 0.04 | 1.2x | 30 | 48% |
| MACD fast=17, slow=54, signal=14 |
1.9% | -43.3% | 0.19 | 0.04 | 1.2x | 91 | 49% |
| Buy and hold | 5.3% | -53.5% | 0.33 | 0.10 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)