Trend-Following Backtester · Guide · backtest 한국어
equity · US
MSG Knickerbockers Corp. backtest
10 trend-following strategies were compared on the full daily history of MSG Knickerbockers Corp.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -41.6%).
Sharpe leader (same as main): Supertrend — CAGR 11.6%, MDD -37.9%, Sharpe 0.67, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.5%, MDD -39.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=4.6 |
11.6% | -37.9% | 0.67 | 0.31 | 3.4x | 27 | 63% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.12 |
13.5% | -39.1% | 0.62 | 0.34 | 4.0x | 13 | 99% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
5.7% | -11.9% | 0.55 | 0.48 | 1.8x | 12 | 16% |
| EMA 크로스오버 fast=18, slow=142 |
8.2% | -38.7% | 0.52 | 0.21 | 2.4x | 25 | 60% |
| Keltner 채널 돌파 emaPeriod=96, atrPeriod=24, mult=2.4 |
7.2% | -28.4% | 0.50 | 0.25 | 2.2x | 33 | 45% |
| Donchian 채널 돌파 entryN=31, exitN=105 |
8.2% | -49.7% | 0.48 | 0.17 | 2.4x | 17 | 78% |
| ADX / DI 방향성 period=31, threshold=24 |
3.9% | -11.0% | 0.46 | 0.35 | 1.5x | 8 | 10% |
| SMA 크로스오버 fast=13, slow=152 |
7.0% | -44.0% | 0.46 | 0.16 | 2.1x | 29 | 58% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.6% | -46.1% | 0.06 | -0.01 | 0.9x | 163 | 56% |
| MACD fast=19, slow=59, signal=19 |
-2.0% | -51.1% | -0.03 | -0.04 | 0.8x | 107 | 51% |
| Buy and hold | 10.9% | -41.6% | 0.52 | 0.26 | 3.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)