Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kulicke and Soffa Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kulicke and Soffa Industries, Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -77.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 11.0%, drawdown -97.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.1%, MDD -87.6%, Sharpe 0.56, 73% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 9.7%p (CAGR 11.3%, MDD -77.3%, exposure 42%).
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=22, exitN=70 |
17.1% | -87.6% | 0.56 | 0.20 | 4598.8x | 139 | 73% |
| Supertrend period=21, mult=5 |
15.2% | -79.1% | 0.54 | 0.19 | 1916.6x | 176 | 54% |
| ADX / DI 방향성 period=32, threshold=5 |
14.9% | -89.2% | 0.53 | 0.17 | 1654.2x | 572 | 58% |
| SMA 크로스오버 fast=15, slow=112 |
13.1% | -88.1% | 0.50 | 0.15 | 703.9x | 159 | 55% |
| EMA 크로스오버 fast=31, slow=77 |
11.8% | -87.8% | 0.47 | 0.13 | 388.8x | 157 | 54% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
11.3% | -77.3% | 0.47 | 0.15 | 301.5x | 312 | 42% |
| ROC 모멘텀 n=43, threshold=-0.02 |
11.7% | -79.1% | 0.47 | 0.15 | 366.0x | 728 | 58% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=2.9 |
8.4% | -80.7% | 0.41 | 0.10 | 76.0x | 206 | 31% |
| MACD fast=16, slow=54, signal=14 |
6.1% | -96.2% | 0.35 | 0.06 | 23.6x | 648 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
6.0% | -84.9% | 0.35 | 0.07 | 22.2x | 434 | 51% |
| Buy and hold | 11.0% | -97.3% | 0.48 | 0.11 | 264.2x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 70 days