Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kinder Morgan, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kinder Morgan, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -8.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.2%, drawdown -77.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.2%, MDD -8.1%, Sharpe 0.38, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.9%, MDD -32.8%, exposure 29%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 69.5%p (CAGR 1.2%, MDD -8.1%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=3.3 |
1.2% | -8.1% | 0.38 | 0.14 | 1.2x | 6 | 3% |
| Donchian 채널 돌파 entryN=111, exitN=39 |
2.9% | -32.8% | 0.29 | 0.09 | 1.6x | 24 | 29% |
| EMA 크로스오버 fast=82, slow=152 |
1.8% | -54.5% | 0.19 | 0.03 | 1.3x | 19 | 58% |
| SMA 크로스오버 fast=10, slow=153 |
1.6% | -53.6% | 0.18 | 0.03 | 1.3x | 53 | 55% |
| ADX / DI 방향성 period=34, threshold=18 |
1.1% | -28.7% | 0.17 | 0.04 | 1.2x | 22 | 12% |
| ROC 모멘텀 n=131, threshold=0.04 |
0.7% | -52.9% | 0.12 | 0.01 | 1.1x | 133 | 44% |
| Supertrend period=25, mult=4.3 |
0.6% | -39.6% | 0.12 | 0.01 | 1.1x | 62 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=4 |
0.4% | -42.4% | 0.08 | 0.01 | 1.1x | 24 | 15% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-0.5% | -47.9% | 0.06 | -0.01 | 0.9x | 85 | 55% |
| MACD fast=9, slow=46, signal=17 |
-3.4% | -66.8% | -0.09 | -0.05 | 0.6x | 220 | 49% |
| Buy and hold | 0.2% | -77.6% | 0.15 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 21-day middle average