Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Kainos Group PLC backtest
10 trend-following strategies were compared on the full daily history of Kainos Group PLC. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.1%, MDD -55.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.3%, drawdown -71.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 17.2%, MDD -67.0%, Sharpe 0.64, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 4.6%p (CAGR 15.1%, MDD -55.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.06 |
17.2% | -67.0% | 0.64 | 0.26 | 5.9x | 153 | 52% |
| Supertrend period=11, mult=1.7 |
15.3% | -70.9% | 0.59 | 0.22 | 4.9x | 115 | 50% |
| EMA 크로스오버 fast=45, slow=207 |
15.1% | -55.2% | 0.59 | 0.27 | 4.8x | 9 | 53% |
| ADX / DI 방향성 period=8, threshold=37 |
10.1% | -23.7% | 0.57 | 0.43 | 2.9x | 97 | 22% |
| MACD fast=11, slow=42, signal=11 |
14.0% | -77.7% | 0.55 | 0.18 | 4.3x | 173 | 49% |
| Donchian 채널 돌파 entryN=89, exitN=102 |
14.0% | -54.9% | 0.55 | 0.25 | 4.3x | 11 | 58% |
| SMA 크로스오버 fast=48, slow=207 |
13.1% | -50.6% | 0.53 | 0.26 | 3.9x | 11 | 56% |
| 볼린저 밴드 돌파 n=24, k=2.1 |
10.5% | -37.3% | 0.52 | 0.28 | 3.0x | 67 | 29% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=29, mult=1.4 |
10.1% | -39.1% | 0.50 | 0.26 | 2.9x | 65 | 39% |
| ROC 모멘텀 n=103, threshold=-0.04 |
11.8% | -67.1% | 0.48 | 0.18 | 3.5x | 77 | 61% |
| Buy and hold | 19.3% | -71.6% | 0.61 | 0.27 | 7.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots