Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Grupa Kety SA backtest
10 trend-following strategies were compared on the full daily history of Grupa Kety SA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.7%, MDD -40.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.2%, drawdown -79.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -47.5%, Sharpe 0.71, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 12.7%, MDD -40.0%, exposure 67%).
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=43, slow=157 |
14.5% | -47.5% | 0.71 | 0.31 | 36.9x | 41 | 61% |
| Donchian 채널 돌파 entryN=92, exitN=103 |
12.7% | -40.0% | 0.62 | 0.32 | 24.2x | 27 | 67% |
| EMA 크로스오버 fast=54, slow=160 |
11.5% | -54.1% | 0.58 | 0.21 | 18.0x | 35 | 65% |
| ADX / DI 방향성 period=38, threshold=28 |
3.9% | -14.2% | 0.53 | 0.27 | 2.7x | 12 | 7% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
3.3% | -20.9% | 0.49 | 0.16 | 2.4x | 12 | 7% |
| ROC 모멘텀 n=110, threshold=-0.04 |
9.2% | -56.1% | 0.48 | 0.16 | 10.3x | 219 | 71% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=2.8 |
4.5% | -38.6% | 0.35 | 0.12 | 3.2x | 95 | 32% |
| Supertrend period=10, mult=3 |
4.3% | -51.1% | 0.30 | 0.08 | 3.0x | 171 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.5% | -53.6% | 0.27 | 0.07 | 2.5x | 221 | 53% |
| MACD fast=19, slow=29, signal=22 |
0.9% | -66.1% | 0.14 | 0.01 | 1.3x | 305 | 49% |
| Buy and hold | 12.2% | -79.6% | 0.52 | 0.15 | 21.4x | 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 43-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 43-day average falls below the 157-day average