Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kelly Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kelly Services, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.9%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.0%, MDD -80.4%, Sharpe 0.18, 53% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 1.2%, MDD -36.4%, exposure 12%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=26, slow=59 |
1.0% | -80.4% | 0.18 | 0.01 | 1.6x | 205 | 53% |
| Donchian 채널 돌파 entryN=10, exitN=55 |
0.5% | -93.8% | 0.17 | 0.00 | 1.2x | 183 | 79% |
| ADX / DI 방향성 period=38, threshold=25 |
1.2% | -36.4% | 0.17 | 0.03 | 1.7x | 51 | 12% |
| EMA 크로스오버 fast=27, slow=37 |
-0.6% | -91.0% | 0.10 | -0.01 | 0.8x | 217 | 53% |
| Supertrend period=8, mult=4 |
-1.1% | -94.6% | 0.09 | -0.01 | 0.6x | 173 | 54% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
-1.2% | -91.6% | 0.01 | -0.01 | 0.6x | 147 | 24% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=4 |
-1.4% | -76.6% | -0.05 | -0.02 | 0.5x | 77 | 16% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-5.7% | -98.7% | -0.08 | -0.06 | 0.1x | 583 | 52% |
| MACD fast=18, slow=59, signal=19 |
-6.5% | -98.9% | -0.10 | -0.07 | 0.0x | 511 | 52% |
| ROC 모멘텀 n=148, threshold=0.13 |
-4.6% | -98.1% | -0.17 | -0.05 | 0.1x | 349 | 29% |
| Buy and hold | 1.9% | -83.9% | 0.25 | 0.02 | 2.4x | 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 26-day average price crosses above the 59-day average
- Sell — Sell (to cash) when the 26-day average falls below the 59-day average