Trend-Following Backtester · Guide · backtest 한국어
equity · US
Karat Packaging Inc. backtest
10 trend-following strategies were compared on the full daily history of Karat Packaging Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.7%, MDD -35.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.0%, drawdown -49.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.3%, MDD -21.3%, Sharpe 0.75, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.4%, MDD -48.5%, exposure 73%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.7%p lower than buy and hold, while drawdown improves by 28.4%p (CAGR 16.7%, MDD -35.0%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=21 |
10.3% | -21.3% | 0.75 | 0.48 | 1.7x | 3 | 8% |
| SMA 크로스오버 fast=20, slow=214 |
16.7% | -35.0% | 0.71 | 0.48 | 2.3x | 7 | 40% |
| EMA 크로스오버 fast=24, slow=209 |
15.0% | -38.2% | 0.65 | 0.39 | 2.1x | 7 | 44% |
| 볼린저 밴드 돌파 n=37, k=2 |
13.1% | -33.0% | 0.63 | 0.40 | 1.9x | 23 | 35% |
| Donchian 채널 돌파 entryN=15, exitN=87 |
17.4% | -48.5% | 0.62 | 0.36 | 2.4x | 11 | 73% |
| ROC 모멘텀 n=108, threshold=0.07 |
12.7% | -36.9% | 0.57 | 0.34 | 1.9x | 37 | 40% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=2.2 |
10.2% | -35.4% | 0.54 | 0.29 | 1.7x | 19 | 29% |
| Supertrend period=21, mult=4.7 |
10.2% | -49.2% | 0.52 | 0.21 | 1.7x | 15 | 35% |
| MACD fast=16, slow=26, signal=18 |
8.3% | -45.1% | 0.41 | 0.18 | 1.5x | 66 | 54% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.8% | -57.2% | 0.28 | 0.07 | 1.2x | 40 | 48% |
| Buy and hold | 19.0% | -49.7% | 0.61 | 0.38 | 2.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)