Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kingstone Companies, Inc backtest
10 trend-following strategies were compared on the full daily history of Kingstone Companies, Inc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.3%, MDD -57.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.4%, drawdown -99.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.1%, MDD -74.2%, Sharpe 0.61, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 14.3%, MDD -57.9%, exposure 38%).
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=49, slow=146 |
21.1% | -74.2% | 0.61 | 0.28 | 166.9x | 45 | 51% |
| EMA 크로스오버 fast=54, slow=157 |
15.5% | -64.8% | 0.53 | 0.24 | 47.1x | 33 | 55% |
| Donchian 채널 돌파 entryN=116, exitN=47 |
14.3% | -57.9% | 0.51 | 0.25 | 36.0x | 35 | 38% |
| ADX / DI 방향성 period=23, threshold=20 |
6.4% | -77.6% | 0.35 | 0.08 | 5.2x | 131 | 24% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.6% | -86.6% | 0.27 | -0.01 | 0.8x | 169 | 46% |
| ROC 모멘텀 n=121, threshold=0.09 |
1.2% | -86.4% | 0.26 | 0.01 | 1.4x | 237 | 41% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
-0.2% | -89.2% | 0.23 | -0.00 | 0.9x | 125 | 35% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=3.8 |
-4.9% | -90.7% | 0.07 | -0.05 | 0.3x | 75 | 19% |
| Supertrend period=22, mult=5 |
-13.6% | -99.8% | 0.05 | -0.14 | 0.0x | 121 | 57% |
| MACD fast=20, slow=35, signal=15 |
-17.9% | -99.9% | -0.03 | -0.18 | 0.0x | 354 | 49% |
| Buy and hold | 5.4% | -99.5% | 0.33 | 0.05 | 4.1x | 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 49-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 49-day average falls below the 146-day average