Trend-Following Backtester · Guide · backtest 한국어
equity · IN
KEI Industries Limited backtest
10 trend-following strategies were compared on the full daily history of KEI Industries Limited. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 36.7%, MDD -61.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 23.6%, drawdown -95.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 36.7%, MDD -61.1%, Sharpe 0.95, 78% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 36.7%, MDD -61.1%, exposure 78%).
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=32, exitN=79 |
36.7% | -61.1% | 0.95 | 0.60 | 597.4x | 25 | 78% |
| SMA 크로스오버 fast=72, slow=89 |
33.8% | -67.8% | 0.95 | 0.50 | 384.1x | 63 | 65% |
| EMA 크로스오버 fast=35, slow=82 |
31.2% | -66.1% | 0.89 | 0.47 | 255.7x | 33 | 67% |
| ROC 모멘텀 n=142, threshold=0 |
27.7% | -64.6% | 0.83 | 0.43 | 147.1x | 129 | 66% |
| Supertrend period=22, mult=5 |
26.8% | -66.0% | 0.81 | 0.41 | 128.8x | 43 | 65% |
| ADX / DI 방향성 period=35, threshold=7 |
22.7% | -58.5% | 0.72 | 0.39 | 65.8x | 207 | 64% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=11, mult=0.9 |
16.1% | -70.2% | 0.59 | 0.23 | 21.1x | 163 | 56% |
| 볼린저 밴드 돌파 n=45, k=0.5 |
14.4% | -69.0% | 0.55 | 0.21 | 15.7x | 223 | 55% |
| Parabolic SAR step=0.03, maxStep=0.3 |
12.9% | -81.9% | 0.51 | 0.16 | 11.9x | 532 | 50% |
| MACD fast=7, slow=14, signal=13 |
9.7% | -69.1% | 0.44 | 0.14 | 6.6x | 464 | 49% |
| Buy and hold | 23.6% | -95.6% | 0.67 | 0.25 | 76.0x | 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 32 days
- Sell — Sell when price breaks below the lowest low of the last 79 days