Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kadant Inc backtest
10 trend-following strategies were compared on the full daily history of Kadant 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 7.4%, MDD -73.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -93.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -73.4%, Sharpe 0.39, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 7.4%, MDD -73.4%, exposure 62%).
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=47, slow=216 |
7.4% | -73.4% | 0.39 | 0.10 | 11.1x | 47 | 62% |
| EMA 크로스오버 fast=55, slow=152 |
6.3% | -68.7% | 0.36 | 0.09 | 7.9x | 46 | 61% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
2.4% | -32.5% | 0.31 | 0.07 | 2.2x | 40 | 8% |
| ROC 모멘텀 n=181, threshold=-0.08 |
4.6% | -87.3% | 0.30 | 0.05 | 4.6x | 205 | 73% |
| Donchian 채널 돌파 entryN=62, exitN=101 |
4.4% | -84.9% | 0.29 | 0.05 | 4.3x | 47 | 71% |
| Supertrend period=10, mult=5 |
3.3% | -87.2% | 0.25 | 0.04 | 3.0x | 110 | 59% |
| ADX / DI 방향성 period=34, threshold=19 |
0.8% | -48.0% | 0.13 | 0.02 | 1.3x | 84 | 15% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.1% | -89.8% | 0.10 | -0.01 | 0.7x | 282 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=23, mult=3.7 |
0.5% | -50.0% | 0.10 | 0.01 | 1.2x | 70 | 14% |
| MACD fast=11, slow=32, signal=16 |
-8.0% | -97.6% | -0.15 | -0.08 | 0.1x | 517 | 51% |
| Buy and hold | 8.6% | -93.4% | 0.41 | 0.09 | 16.0x | 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 47-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 47-day average falls below the 216-day average