Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Kingdom Holding Co. backtest
10 trend-following strategies were compared on the full daily history of Kingdom Holding Co.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.5%, MDD -29.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.7%, drawdown -78.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.5%, MDD -29.6%, Sharpe 0.51, 21% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 7.5%, MDD -29.6%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=2.6 |
7.5% | -29.6% | 0.51 | 0.25 | 3.3x | 50 | 21% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=26, mult=2.1 |
5.8% | -36.5% | 0.40 | 0.16 | 2.5x | 64 | 27% |
| Supertrend period=25, mult=3.2 |
5.7% | -52.4% | 0.37 | 0.11 | 2.5x | 96 | 45% |
| MACD fast=19, slow=57, signal=19 |
5.6% | -40.8% | 0.37 | 0.14 | 2.4x | 122 | 49% |
| SMA 크로스오버 fast=16, slow=120 |
4.7% | -54.6% | 0.33 | 0.09 | 2.1x | 43 | 40% |
| EMA 크로스오버 fast=33, slow=145 |
4.7% | -50.7% | 0.33 | 0.09 | 2.1x | 25 | 38% |
| Donchian 채널 돌파 entryN=116, exitN=69 |
4.4% | -37.7% | 0.32 | 0.12 | 2.0x | 17 | 30% |
| ROC 모멘텀 n=142, threshold=0.06 |
3.7% | -46.3% | 0.28 | 0.08 | 1.8x | 55 | 30% |
| ADX / DI 방향성 period=22, threshold=19 |
2.6% | -59.6% | 0.23 | 0.04 | 1.5x | 110 | 36% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.9% | -64.0% | 0.19 | 0.03 | 1.4x | 106 | 47% |
| Buy and hold | 0.7% | -78.9% | 0.18 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 38-day middle average