Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kforce, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kforce, Inc.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -71.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -94.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -24.2%, Sharpe 0.46, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -71.7%, exposure 52%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.1%p lower than buy and hold, while drawdown improves by 70.4%p (CAGR 9.6%, MDD -71.7%, exposure 52%).
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=36, threshold=39 |
3.0% | -24.2% | 0.46 | 0.12 | 2.5x | 4 | 2% |
| Donchian 채널 돌파 entryN=24, exitN=16 |
9.6% | -71.7% | 0.43 | 0.13 | 16.8x | 165 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=24, mult=3.6 |
6.8% | -45.7% | 0.42 | 0.15 | 7.7x | 61 | 21% |
| EMA 크로스오버 fast=7, slow=82 |
8.8% | -68.2% | 0.41 | 0.13 | 13.5x | 165 | 55% |
| Supertrend period=10, mult=3 |
8.3% | -75.9% | 0.40 | 0.11 | 11.8x | 185 | 54% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
6.0% | -57.5% | 0.38 | 0.10 | 6.1x | 80 | 19% |
| SMA 크로스오버 fast=12, slow=155 |
6.5% | -72.2% | 0.35 | 0.09 | 7.0x | 77 | 55% |
| ROC 모멘텀 n=126, threshold=0 |
6.3% | -70.7% | 0.35 | 0.09 | 6.6x | 185 | 56% |
| MACD fast=25, slow=43, signal=21 |
5.3% | -82.8% | 0.32 | 0.06 | 5.0x | 287 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.4% | -78.4% | 0.32 | 0.07 | 5.1x | 253 | 54% |
| Buy and hold | 9.2% | -94.6% | 0.44 | 0.10 | 15.1x | 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, 36-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)