Trend-Following Backtester · Guide · backtest 한국어
equity · TW
KGI Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of KGI Financial Holding Co., Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.9%, MDD -38.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.7%, drawdown -69.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.6%, MDD -43.9%, Sharpe 0.49, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.9%, MDD -38.1%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 7.9%, MDD -38.1%, exposure 53%).
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=111, exitN=58 |
7.6% | -43.9% | 0.49 | 0.17 | 6.1x | 29 | 44% |
| SMA 크로스오버 fast=47, slow=144 |
7.9% | -38.1% | 0.48 | 0.21 | 6.5x | 43 | 53% |
| EMA 크로스오버 fast=54, slow=107 |
7.2% | -43.4% | 0.45 | 0.16 | 5.5x | 33 | 52% |
| Keltner 채널 돌파 emaPeriod=87, atrPeriod=26, mult=2.4 |
4.9% | -42.8% | 0.37 | 0.12 | 3.3x | 77 | 38% |
| 볼린저 밴드 돌파 n=76, k=1.1 |
4.3% | -42.9% | 0.33 | 0.10 | 2.8x | 105 | 43% |
| ROC 모멘텀 n=119, threshold=0.12 |
3.7% | -52.3% | 0.31 | 0.07 | 2.4x | 159 | 28% |
| ADX / DI 방향성 period=33, threshold=21 |
2.7% | -38.9% | 0.27 | 0.07 | 1.9x | 65 | 17% |
| Supertrend period=27, mult=2.5 |
1.6% | -65.2% | 0.18 | 0.02 | 1.5x | 227 | 56% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.2% | -71.4% | 0.11 | 0.00 | 1.0x | 343 | 53% |
| MACD fast=18, slow=47, signal=19 |
-1.5% | -73.7% | 0.02 | -0.02 | 0.7x | 258 | 51% |
| Buy and hold | 4.7% | -69.5% | 0.30 | 0.07 | 3.1x | 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 111 days
- Sell — Sell when price breaks below the lowest low of the last 58 days