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 17.3%, MDD -41.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.4%, drawdown -88.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.4%, 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 17.3%, MDD -41.7%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=72 |
20.4% | -71.8% | 0.71 | 0.28 | 54.5x | 45 | 78% |
| SMA 크로스오버 fast=15, slow=93 |
17.3% | -48.8% | 0.67 | 0.35 | 31.2x | 63 | 56% |
| EMA 크로스오버 fast=33, slow=145 |
17.3% | -41.7% | 0.67 | 0.42 | 31.4x | 43 | 56% |
| ROC 모멘텀 n=60, threshold=-0.01 |
14.6% | -57.8% | 0.60 | 0.25 | 18.9x | 224 | 58% |
| Parabolic SAR step=0.02, maxStep=0.06 |
11.0% | -72.5% | 0.51 | 0.15 | 9.5x | 274 | 51% |
| Supertrend period=25, mult=3.3 |
10.8% | -62.8% | 0.51 | 0.17 | 9.2x | 129 | 47% |
| ADX / DI 방향성 period=17, threshold=19 |
8.5% | -49.7% | 0.44 | 0.17 | 5.8x | 186 | 39% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
7.1% | -53.8% | 0.39 | 0.13 | 4.4x | 240 | 40% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=2.5 |
7.0% | -57.0% | 0.39 | 0.12 | 4.3x | 94 | 36% |
| MACD fast=8, slow=50, signal=11 |
5.4% | -76.3% | 0.33 | 0.07 | 3.1x | 384 | 49% |
| Buy and hold | 13.4% | -88.8% | 0.52 | 0.15 | 15.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 72 days