Trend-Following Backtester · Guide · backtest 한국어
equity · TH
KCE Electronics Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of KCE Electronics Public Co., Ltd.. 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 32.7%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.2%, drawdown -93.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.7%, MDD -31.2%, Sharpe 1.15, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.4%p higher than buy and hold, while drawdown improves by 62.6%p (CAGR 32.7%, MDD -31.2%, exposure 39%).
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=74, k=1.9 |
32.7% | -31.2% | 1.15 | 1.05 | 1866.0x | 51 | 39% |
| Donchian 채널 돌파 entryN=76, exitN=33 |
30.1% | -43.1% | 1.08 | 0.70 | 1105.2x | 43 | 41% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=3.1 |
28.7% | -41.8% | 1.06 | 0.69 | 839.6x | 55 | 38% |
| SMA 크로스오버 fast=3, slow=100 |
30.5% | -47.8% | 1.02 | 0.64 | 1217.5x | 111 | 51% |
| ROC 모멘텀 n=58, threshold=0.06 |
29.0% | -49.5% | 1.01 | 0.59 | 889.9x | 239 | 43% |
| EMA 크로스오버 fast=10, slow=97 |
28.5% | -46.4% | 0.98 | 0.62 | 804.0x | 75 | 50% |
| Supertrend period=8, mult=4.6 |
27.6% | -69.0% | 0.90 | 0.40 | 665.7x | 81 | 57% |
| ADX / DI 방향성 period=33, threshold=18 |
22.5% | -48.9% | 0.88 | 0.46 | 224.2x | 133 | 35% |
| Parabolic SAR step=0.01, maxStep=0.32 |
16.9% | -60.8% | 0.66 | 0.28 | 63.8x | 287 | 50% |
| MACD fast=16, slow=64, signal=18 |
15.9% | -58.3% | 0.63 | 0.27 | 50.9x | 237 | 52% |
| Buy and hold | 11.2% | -93.8% | 0.46 | 0.12 | 17.0x | 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 74-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 74-day middle average