Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kennametal Inc. backtest
10 trend-following strategies were compared on the full daily history of Kennametal Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -70.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -69.0%, Sharpe 0.34, 90% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=6, exitN=74 |
5.8% | -69.0% | 0.34 | 0.08 | 20.4x | 195 | 90% |
| Supertrend period=9, mult=4 |
1.3% | -74.0% | 0.17 | 0.02 | 2.0x | 324 | 56% |
| SMA 크로스오버 fast=35, slow=120 |
0.6% | -70.1% | 0.15 | 0.01 | 1.4x | 142 | 60% |
| 볼린저 밴드 돌파 n=17, k=3 |
0.7% | -29.8% | 0.13 | 0.02 | 1.5x | 82 | 5% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.0% | -84.5% | 0.12 | 0.00 | 1.0x | 673 | 54% |
| EMA 크로스오버 fast=42, slow=56 |
-0.5% | -83.9% | 0.10 | -0.01 | 0.8x | 180 | 59% |
| ADX / DI 방향성 period=30, threshold=36 |
0.3% | -18.7% | 0.10 | 0.01 | 1.2x | 10 | 1% |
| MACD fast=22, slow=55, signal=8 |
-0.7% | -86.9% | 0.09 | -0.01 | 0.7x | 747 | 51% |
| ROC 모멘텀 n=137, threshold=0.08 |
-1.1% | -84.3% | 0.05 | -0.01 | 0.5x | 465 | 42% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=1.2 |
-2.9% | -94.7% | -0.06 | -0.03 | 0.2x | 734 | 39% |
| Buy and hold | 5.8% | -70.9% | 0.34 | 0.08 | 20.7x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 74 days