Trend-Following Backtester · Guide · backtest 한국어
equity · FI
KONE Oyj Class B backtest
10 trend-following strategies were compared on the full daily history of KONE Oyj Class B. 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 11.0%, drawdown -52.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -55.6%, Sharpe 0.42, 80% 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=15, exitN=53 |
7.4% | -55.6% | 0.42 | 0.13 | 4.6x | 61 | 80% |
| SMA 크로스오버 fast=16, slow=103 |
6.0% | -37.8% | 0.38 | 0.16 | 3.4x | 62 | 63% |
| EMA 크로스오버 fast=57, slow=82 |
5.7% | -34.6% | 0.37 | 0.17 | 3.3x | 38 | 67% |
| Supertrend period=10, mult=4.2 |
4.8% | -41.7% | 0.34 | 0.11 | 2.7x | 81 | 57% |
| ROC 모멘텀 n=98, threshold=-0.03 |
3.0% | -58.6% | 0.25 | 0.05 | 1.9x | 164 | 71% |
| ADX / DI 방향성 period=35, threshold=22 |
0.9% | -14.0% | 0.17 | 0.06 | 1.2x | 18 | 8% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.3% | -66.9% | -0.08 | -0.05 | 0.5x | 201 | 54% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=1.3 |
-3.1% | -73.6% | -0.09 | -0.04 | 0.5x | 179 | 51% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
-3.6% | -68.3% | -0.12 | -0.05 | 0.5x | 165 | 50% |
| MACD fast=19, slow=30, signal=13 |
-7.4% | -85.8% | -0.31 | -0.09 | 0.2x | 317 | 50% |
| Buy and hold | 11.0% | -52.8% | 0.52 | 0.21 | 9.3x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 53 days