Trend-Following Backtester · Guide · backtest 한국어
equity · BE
KBC Ancora SCA backtest
10 trend-following strategies were compared on the full daily history of KBC Ancora SCA. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -42.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.5%, drawdown -97.1%).
Sharpe leader (same as main): Supertrend — CAGR 16.7%, MDD -48.3%, Sharpe 0.72, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 7.8%, MDD -42.8%, exposure 35%).
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=8, mult=3.6 |
16.7% | -48.3% | 0.72 | 0.35 | 50.2x | 159 | 56% |
| SMA 크로스오버 fast=12, slow=181 |
14.7% | -53.3% | 0.69 | 0.28 | 32.4x | 49 | 60% |
| EMA 크로스오버 fast=32, slow=111 |
14.0% | -53.8% | 0.66 | 0.26 | 27.5x | 37 | 60% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=1.3 |
13.5% | -45.6% | 0.66 | 0.30 | 24.7x | 175 | 50% |
| ROC 모멘텀 n=109, threshold=0.02 |
13.5% | -62.1% | 0.63 | 0.22 | 24.8x | 169 | 57% |
| 볼린저 밴드 돌파 n=48, k=2.8 |
8.8% | -50.8% | 0.58 | 0.17 | 8.4x | 38 | 19% |
| Donchian 채널 돌파 entryN=101, exitN=20 |
7.8% | -42.8% | 0.56 | 0.18 | 6.7x | 75 | 35% |
| ADX / DI 방향성 period=29, threshold=6 |
10.4% | -57.3% | 0.53 | 0.18 | 12.3x | 323 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.0% | -83.1% | 0.24 | 0.04 | 2.1x | 213 | 57% |
| MACD fast=16, slow=59, signal=9 |
-1.2% | -95.8% | 0.11 | -0.01 | 0.7x | 369 | 51% |
| Buy and hold | 5.5% | -97.1% | 0.34 | 0.06 | 3.9x | 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) — 8-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)