Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Kinaxis, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kinaxis, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.8%, drawdown -48.2%).
Sharpe leader (same as main): Supertrend — CAGR 16.6%, MDD -35.8%, Sharpe 0.70, 62% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.6%, MDD -42.7%, exposure 60%.
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=22, mult=3.6 |
16.6% | -35.8% | 0.70 | 0.46 | 6.5x | 63 | 62% |
| SMA 크로스오버 fast=35, slow=95 |
16.6% | -42.7% | 0.68 | 0.39 | 6.6x | 35 | 60% |
| EMA 크로스오버 fast=55, slow=83 |
15.8% | -58.7% | 0.65 | 0.27 | 6.0x | 25 | 63% |
| Donchian 채널 돌파 entryN=50, exitN=66 |
14.8% | -37.2% | 0.62 | 0.40 | 5.4x | 23 | 67% |
| 볼린저 밴드 돌파 n=72, k=1.2 |
11.3% | -42.4% | 0.57 | 0.27 | 3.7x | 53 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=9, mult=2.2 |
10.4% | -40.7% | 0.56 | 0.26 | 3.4x | 57 | 41% |
| ROC 모멘텀 n=84, threshold=-0.05 |
12.6% | -48.6% | 0.55 | 0.26 | 4.3x | 93 | 69% |
| MACD fast=23, slow=69, signal=19 |
7.1% | -64.5% | 0.40 | 0.11 | 2.3x | 107 | 49% |
| ADX / DI 방향성 period=30, threshold=15 |
5.9% | -46.0% | 0.39 | 0.13 | 2.0x | 88 | 36% |
| Parabolic SAR step=0.035, maxStep=0.14 |
2.3% | -69.2% | 0.22 | 0.03 | 1.3x | 315 | 54% |
| Buy and hold | 23.8% | -48.2% | 0.76 | 0.49 | 13.5x | 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) — 22-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)