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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.3%, MDD -35.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.6%, drawdown -49.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.3%, MDD -35.0%, Sharpe 0.61, 40% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.0%, MDD -48.5%, exposure 73%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 14.8%p (CAGR 13.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=214 |
13.3% | -35.0% | 0.61 | 0.38 | 1.9x | 7 | 40% |
| ADX / DI 방향성 period=30, threshold=21 |
7.0% | -21.3% | 0.58 | 0.33 | 1.4x | 3 | 7% |
| EMA 크로스오버 fast=24, slow=209 |
11.6% | -38.2% | 0.55 | 0.30 | 1.8x | 7 | 43% |
| Donchian 채널 돌파 entryN=15, exitN=87 |
14.0% | -48.5% | 0.54 | 0.29 | 2.0x | 11 | 73% |
| 볼린저 밴드 돌파 n=37, k=2 |
9.8% | -33.0% | 0.52 | 0.30 | 1.6x | 23 | 34% |
| ROC 모멘텀 n=108, threshold=0.07 |
9.3% | -36.9% | 0.47 | 0.25 | 1.6x | 37 | 39% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=2.2 |
6.9% | -35.4% | 0.42 | 0.19 | 1.4x | 19 | 28% |
| Supertrend period=21, mult=4.7 |
6.9% | -49.2% | 0.40 | 0.14 | 1.4x | 15 | 34% |
| MACD fast=16, slow=26, signal=18 |
4.3% | -45.1% | 0.29 | 0.09 | 1.2x | 65 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.7% | -57.2% | 0.18 | 0.01 | 1.0x | 39 | 48% |
| Buy and hold | 15.6% | -49.7% | 0.55 | 0.31 | 2.2x | 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 20-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 20-day average falls below the 214-day average