Trend-Following Backtester · Guide · backtest 한국어

equity · US

Kimberly-Clark Corporation backtest

10 trend-following strategies were compared on the full daily history of Kimberly-Clark Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.5%, drawdown -41.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -58.9%, Sharpe 0.34, 91% exposure.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=8, exitN=85
5.0%-58.9%0.340.089.5x12591%
EMA 크로스오버
fast=56, slow=196
2.8%-61.6%0.240.053.6x6669%
SMA 크로스오버
fast=41, slow=211
2.4%-61.0%0.220.043.0x8364%
MACD
fast=40, slow=82, signal=32
1.3%-45.0%0.160.031.8x27149%
ROC 모멘텀
n=147, threshold=-0.04
0.4%-83.4%0.110.001.2x35975%
ADX / DI 방향성
period=38, threshold=20
0.1%-38.8%0.050.001.1x7414%
볼린저 밴드 돌파
n=52, k=3.5
0.1%-28.8%0.050.001.1x347%
Supertrend
period=20, mult=4.2
-0.5%-70.4%0.05-0.010.8x21555%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=26, mult=3.7
0.1%-18.6%0.040.001.0x403%
Parabolic SAR
step=0.005, maxStep=0.36
-1.5%-64.7%-0.02-0.020.5x40053%
Buy and hold8.5%-41.4%0.470.2043.5x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -29% -44% -59% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -58.9% (1999-11-17 → 2009-03-20), recovered after 5,928 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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