Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kontoor Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kontoor Brands, Inc.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.0%, MDD -33.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.5%, drawdown -67.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.0%, MDD -33.7%, Sharpe 0.72, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.9%, MDD -39.5%, exposure 71%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 18.0%, MDD -33.7%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=107, threshold=0.07 |
18.0% | -33.7% | 0.72 | 0.54 | 3.3x | 45 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=36 |
18.9% | -39.5% | 0.64 | 0.48 | 3.5x | 31 | 71% |
| EMA 크로스오버 fast=27, slow=39 |
15.3% | -43.6% | 0.61 | 0.35 | 2.8x | 27 | 58% |
| SMA 크로스오버 fast=55, slow=112 |
15.1% | -48.7% | 0.59 | 0.31 | 2.8x | 15 | 60% |
| ADX / DI 방향성 period=25, threshold=31 |
5.0% | -15.1% | 0.59 | 0.33 | 1.4x | 4 | 4% |
| Supertrend period=18, mult=4.1 |
13.8% | -49.5% | 0.55 | 0.28 | 2.5x | 29 | 60% |
| MACD fast=13, slow=42, signal=12 |
10.3% | -56.0% | 0.46 | 0.18 | 2.0x | 88 | 50% |
| 볼린저 밴드 돌파 n=15, k=2.1 |
5.1% | -41.0% | 0.34 | 0.12 | 1.4x | 70 | 27% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=23, mult=1.3 |
2.7% | -56.6% | 0.23 | 0.05 | 1.2x | 52 | 46% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-9.0% | -73.4% | -0.13 | -0.12 | 0.5x | 140 | 50% |
| Buy and hold | 10.5% | -67.7% | 0.45 | 0.16 | 2.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 107-day return is greater than 7%
- Sell — Sell when the 107-day return drops to 7% or below