Trend-Following Backtester · Guide · backtest 한국어
equity · US
MKS Inc. backtest
10 trend-following strategies were compared on the full daily history of MKS Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.8%, MDD -51.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -85.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -51.9%, Sharpe 0.47, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 33.8%p (CAGR 10.8%, MDD -51.9%, exposure 55%).
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=45, exitN=36 |
10.8% | -51.9% | 0.47 | 0.21 | 16.6x | 80 | 55% |
| SMA 크로스오버 fast=34, slow=88 |
9.1% | -64.2% | 0.42 | 0.14 | 10.7x | 77 | 57% |
| Supertrend period=26, mult=3.8 |
8.4% | -75.7% | 0.41 | 0.11 | 9.1x | 124 | 54% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
7.2% | -50.4% | 0.40 | 0.14 | 6.8x | 100 | 31% |
| EMA 크로스오버 fast=35, slow=40 |
8.0% | -70.9% | 0.39 | 0.11 | 8.1x | 105 | 59% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=24, mult=3.1 |
4.1% | -62.3% | 0.29 | 0.07 | 3.0x | 94 | 27% |
| ADX / DI 방향성 period=32, threshold=27 |
2.6% | -26.6% | 0.28 | 0.10 | 2.0x | 14 | 5% |
| ROC 모멘텀 n=79, threshold=-0.04 |
3.0% | -77.6% | 0.26 | 0.04 | 2.3x | 257 | 65% |
| Parabolic SAR step=0.005, maxStep=0.42 |
2.6% | -83.5% | 0.25 | 0.03 | 2.0x | 246 | 54% |
| MACD fast=14, slow=52, signal=19 |
-1.4% | -86.0% | 0.13 | -0.02 | 0.7x | 324 | 52% |
| Buy and hold | 11.8% | -85.7% | 0.47 | 0.14 | 21.0x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 36 days