Trend-Following Backtester · Guide · backtest 한국어
equity · US
World Kinect Corporation backtest
10 trend-following strategies were compared on the full daily history of World Kinect Corporation. 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 12.3%, drawdown -74.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -63.5%, Sharpe 0.38, 53% 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=96, exitN=74 |
6.8% | -63.5% | 0.38 | 0.11 | 13.9x | 59 | 53% |
| EMA 크로스오버 fast=57, slow=173 |
6.8% | -76.0% | 0.37 | 0.09 | 13.8x | 51 | 63% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=37, mult=3.2 |
5.9% | -62.6% | 0.36 | 0.09 | 9.8x | 123 | 37% |
| SMA 크로스오버 fast=42, slow=188 |
4.8% | -63.1% | 0.30 | 0.08 | 6.5x | 77 | 58% |
| 볼린저 밴드 돌파 n=49, k=2.6 |
4.0% | -70.6% | 0.30 | 0.06 | 4.7x | 114 | 25% |
| ADX / DI 방향성 period=32, threshold=19 |
2.9% | -65.5% | 0.25 | 0.04 | 3.1x | 127 | 19% |
| Supertrend period=12, mult=4 |
2.9% | -90.1% | 0.24 | 0.03 | 3.1x | 187 | 55% |
| ROC 모멘텀 n=112, threshold=0.06 |
2.1% | -77.1% | 0.21 | 0.03 | 2.3x | 407 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.1% | -95.8% | 0.15 | -0.00 | 1.0x | 304 | 53% |
| MACD fast=10, slow=47, signal=24 |
-0.3% | -93.4% | 0.14 | -0.00 | 0.9x | 524 | 52% |
| Buy and hold | 12.3% | -74.5% | 0.48 | 0.16 | 102.5x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 74 days