Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kornit Digital Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kornit Digital Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -26.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.7%, drawdown -93.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.0%, MDD -31.5%, Sharpe 0.64, 28% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.7%, MDD -41.0%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 10.6%, MDD -26.4%, exposure 26%).
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=55, k=2.5 |
14.0% | -31.5% | 0.64 | 0.44 | 4.4x | 24 | 28% |
| SMA 크로스오버 fast=8, slow=160 |
16.7% | -41.0% | 0.62 | 0.41 | 5.7x | 20 | 48% |
| Donchian 채널 돌파 entryN=60, exitN=59 |
16.0% | -44.6% | 0.61 | 0.36 | 5.4x | 13 | 49% |
| EMA 크로스오버 fast=26, slow=80 |
15.3% | -39.2% | 0.59 | 0.39 | 5.0x | 24 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=3.3 |
10.6% | -26.4% | 0.53 | 0.40 | 3.1x | 26 | 26% |
| ROC 모멘텀 n=96, threshold=0.02 |
9.7% | -64.0% | 0.44 | 0.15 | 2.9x | 95 | 48% |
| Supertrend period=24, mult=4.7 |
8.3% | -58.1% | 0.40 | 0.14 | 2.5x | 30 | 50% |
| ADX / DI 방향성 period=30, threshold=17 |
7.3% | -51.2% | 0.39 | 0.14 | 2.2x | 50 | 26% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-9.6% | -80.6% | -0.09 | -0.12 | 0.3x | 270 | 53% |
| MACD fast=10, slow=50, signal=17 |
-13.9% | -92.3% | -0.20 | -0.15 | 0.2x | 164 | 52% |
| Buy and hold | 0.7% | -93.0% | 0.29 | 0.01 | 1.1x | 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 55-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 55-day middle average