Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kinetik Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Kinetik Holdings Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.1%, MDD -13.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.4%, drawdown -95.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.0%, MDD -34.8%, Sharpe 0.69, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.3%p higher than buy and hold, while drawdown improves by 60.3%p (CAGR 6.1%, MDD -13.7%, exposure 5%).
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=32, slow=149 |
17.0% | -34.8% | 0.69 | 0.49 | 3.4x | 11 | 46% |
| EMA 크로스오버 fast=31, slow=90 |
16.3% | -41.0% | 0.66 | 0.40 | 3.3x | 11 | 48% |
| Donchian 채널 돌파 entryN=78, exitN=77 |
15.3% | -46.0% | 0.61 | 0.33 | 3.0x | 7 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=3.4 |
9.2% | -38.2% | 0.50 | 0.24 | 2.0x | 14 | 24% |
| ADX / DI 방향성 period=27, threshold=30 |
6.1% | -13.7% | 0.49 | 0.45 | 1.6x | 4 | 5% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
5.0% | -13.7% | 0.42 | 0.36 | 1.5x | 2 | 2% |
| Supertrend period=34, mult=4.8 |
7.2% | -54.3% | 0.38 | 0.13 | 1.7x | 19 | 47% |
| ROC 모멘텀 n=132, threshold=-0.04 |
6.9% | -58.7% | 0.37 | 0.12 | 1.7x | 51 | 53% |
| Parabolic SAR step=0.01, maxStep=0.3 |
1.8% | -59.3% | 0.25 | 0.03 | 1.2x | 101 | 47% |
| MACD fast=17, slow=23, signal=19 |
-2.9% | -76.3% | 0.21 | -0.04 | 0.8x | 107 | 51% |
| Buy and hold | -6.4% | -95.1% | 0.23 | -0.07 | 0.6x | 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 32-day average price crosses above the 149-day average
- Sell — Sell (to cash) when the 32-day average falls below the 149-day average