Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Kinik Co. backtest

10 trend-following strategies were compared on the full daily history of Kinik Co.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.0%, MDD -41.7%).

Data 2005-01-31 ~ 2026-07-31daily bars 5,284 (21.5 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 13.1%, drawdown -88.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.1%, MDD -71.8%, Sharpe 0.71, 78% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 17.0%, MDD -41.7%, exposure 55%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=18, exitN=72
20.1%-71.8%0.710.2851.1x4578%
SMA 크로스오버
fast=15, slow=93
17.0%-48.8%0.670.3529.3x6356%
EMA 크로스오버
fast=33, slow=145
17.0%-41.7%0.660.4129.4x4355%
ROC 모멘텀
n=60, threshold=-0.01
14.1%-57.8%0.590.2417.1x22358%
Supertrend
period=25, mult=3.3
11.2%-62.8%0.520.189.8x12847%
Parabolic SAR
step=0.02, maxStep=0.06
11.0%-72.5%0.520.159.5x27251%
ADX / DI 방향성
period=17, threshold=19
8.5%-49.7%0.440.175.8x18639%
볼린저 밴드 돌파
n=24, k=1.1
7.6%-53.8%0.410.144.8x23840%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=22, mult=2.5
7.0%-57.0%0.400.124.3x9436%
MACD
fast=8, slow=50, signal=11
5.6%-76.3%0.340.073.2x38249%
Buy and hold13.1%-88.8%0.510.1514.0x1100%
1x 10x 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -67% -89% 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -71.8% (2006-08-08 → 2009-02-02), recovered after 1,653 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next