Trend-Following Backtester · Guide · backtest 한국어
equity · TW
King Slide Works Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of King Slide Works Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.6%, MDD -42.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 28.2%, drawdown -61.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.6%, MDD -42.9%, Sharpe 1.01, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 28.6%, MDD -42.9%, exposure 57%).
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=53, slow=94 |
28.6% | -42.9% | 1.01 | 0.67 | 96.9x | 47 | 57% |
| Donchian 채널 돌파 entryN=79, exitN=25 |
22.8% | -34.9% | 0.96 | 0.65 | 41.8x | 39 | 37% |
| EMA 크로스오버 fast=34, slow=63 |
24.4% | -53.5% | 0.88 | 0.46 | 53.3x | 55 | 61% |
| Supertrend period=16, mult=4.5 |
22.8% | -43.9% | 0.87 | 0.52 | 41.7x | 53 | 56% |
| ROC 모멘텀 n=184, threshold=0 |
22.9% | -71.3% | 0.82 | 0.32 | 42.3x | 111 | 61% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
17.1% | -36.5% | 0.80 | 0.47 | 17.7x | 53 | 31% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=19, mult=2.2 |
18.1% | -41.4% | 0.80 | 0.44 | 20.6x | 69 | 39% |
| ADX / DI 방향성 period=13, threshold=28 |
11.5% | -43.0% | 0.66 | 0.27 | 7.2x | 113 | 21% |
| MACD fast=16, slow=49, signal=19 |
9.7% | -71.3% | 0.49 | 0.14 | 5.3x | 201 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
8.9% | -76.7% | 0.46 | 0.12 | 4.8x | 291 | 55% |
| Buy and hold | 28.2% | -61.1% | 0.86 | 0.46 | 91.0x | 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 53-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 53-day average falls below the 94-day average