Trend-Following Backtester · Guide · backtest 한국어
equity · US
Knight-Swift Transportation Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Knight-Swift Transportation Holdings Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -60.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -56.9%, Sharpe 0.38, 61% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=131 |
7.1% | -56.9% | 0.38 | 0.13 | 8.9x | 65 | 61% |
| Donchian 채널 돌파 entryN=6, exitN=77 |
5.9% | -64.2% | 0.34 | 0.09 | 6.1x | 101 | 90% |
| EMA 크로스오버 fast=43, slow=132 |
4.4% | -60.0% | 0.29 | 0.07 | 4.0x | 59 | 64% |
| ADX / DI 방향성 period=50, threshold=27 |
0.7% | -16.0% | 0.17 | 0.04 | 1.2x | 4 | 2% |
| ROC 모멘텀 n=104, threshold=-0.04 |
0.1% | -68.3% | 0.16 | 0.00 | 1.0x | 317 | 69% |
| Supertrend period=28, mult=4.9 |
-1.1% | -80.3% | 0.10 | -0.01 | 0.7x | 95 | 59% |
| 볼린저 밴드 돌파 n=53, k=2.9 |
-2.2% | -58.8% | -0.09 | -0.04 | 0.5x | 56 | 15% |
| MACD fast=12, slow=17, signal=14 |
-6.8% | -97.7% | -0.12 | -0.07 | 0.1x | 614 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=3.2 |
-3.7% | -76.2% | -0.12 | -0.05 | 0.3x | 100 | 24% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-8.8% | -97.3% | -0.20 | -0.09 | 0.1x | 282 | 54% |
| Buy and hold | 12.0% | -60.9% | 0.49 | 0.20 | 36.4x | 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 54-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 54-day average falls below the 131-day average