Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Kruk S.A backtest
10 trend-following strategies were compared on the full daily history of Kruk S.A. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.9%, MDD -42.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.9%, drawdown -81.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.8%, MDD -49.0%, Sharpe 0.75, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 16.9%, MDD -42.1%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=177 |
17.8% | -49.0% | 0.75 | 0.36 | 12.3x | 14 | 64% |
| SMA 크로스오버 fast=20, slow=277 |
16.0% | -49.3% | 0.69 | 0.32 | 9.7x | 18 | 62% |
| Donchian 채널 돌파 entryN=25, exitN=59 |
16.9% | -42.1% | 0.68 | 0.40 | 11.0x | 31 | 74% |
| ROC 모멘텀 n=178, threshold=0.01 |
13.2% | -52.3% | 0.61 | 0.25 | 6.6x | 76 | 61% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
9.5% | -32.4% | 0.56 | 0.29 | 4.0x | 44 | 32% |
| Supertrend period=5, mult=5 |
10.2% | -44.5% | 0.51 | 0.23 | 4.4x | 43 | 56% |
| Keltner 채널 돌파 emaPeriod=93, atrPeriod=5, mult=4 |
8.5% | -41.4% | 0.50 | 0.21 | 3.5x | 32 | 39% |
| ADX / DI 방향성 period=34, threshold=28 |
1.4% | -13.1% | 0.25 | 0.11 | 1.2x | 4 | 3% |
| MACD fast=16, slow=21, signal=13 |
-1.1% | -74.8% | 0.08 | -0.01 | 0.8x | 256 | 49% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-4.5% | -77.0% | -0.04 | -0.06 | 0.5x | 358 | 53% |
| Buy and hold | 15.9% | -81.6% | 0.58 | 0.19 | 9.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 177-day EMA
- Sell — Sell when the 52-day EMA falls below the 177-day EMA