Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kimball Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kimball Electronics, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.5%, MDD -41.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -58.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -31.1%, Sharpe 0.65, 13% exposure.
CAGR reference leader: Supertrend — CAGR 10.5%, MDD -41.0%, exposure 48%.
Return/drawdown alternative: Supertrend — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 27.4%p (CAGR 10.5%, MDD -41.0%, exposure 48%).
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=20, k=3.1 |
8.4% | -31.1% | 0.65 | 0.27 | 2.6x | 26 | 13% |
| ADX / DI 방향성 period=12, threshold=37 |
6.9% | -16.9% | 0.57 | 0.41 | 2.2x | 38 | 10% |
| Supertrend period=13, mult=4.6 |
10.5% | -41.0% | 0.52 | 0.26 | 3.2x | 30 | 48% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=1.4 |
7.9% | -41.2% | 0.48 | 0.19 | 2.5x | 82 | 28% |
| ROC 모멘텀 n=20, threshold=0.05 |
5.2% | -51.7% | 0.33 | 0.10 | 1.8x | 224 | 32% |
| SMA 크로스오버 fast=68, slow=192 |
4.5% | -61.6% | 0.30 | 0.07 | 1.7x | 14 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.1% | -53.1% | 0.28 | 0.08 | 1.6x | 94 | 51% |
| Donchian 채널 돌파 entryN=79, exitN=27 |
3.6% | -40.9% | 0.28 | 0.09 | 1.5x | 28 | 30% |
| MACD fast=12, slow=60, signal=16 |
3.8% | -61.0% | 0.27 | 0.06 | 1.6x | 144 | 49% |
| EMA 크로스오버 fast=23, slow=80 |
2.6% | -51.3% | 0.23 | 0.05 | 1.3x | 40 | 48% |
| Buy and hold | 11.0% | -58.5% | 0.46 | 0.19 | 3.4x | 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 20-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 20-day middle average