Trend-Following Backtester · Guide · backtest 한국어
equity · IN
KSB Ltd. backtest
10 trend-following strategies were compared on the full daily history of KSB Ltd.. 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 21.1%, drawdown -89.1%).
Sharpe leader (same as main): Supertrend — CAGR 8.4%, MDD -86.2%, Sharpe 0.48, 56% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.0%, MDD -79.9%, exposure 58%.
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=8, mult=2.7 |
8.4% | -86.2% | 0.48 | 0.10 | 7.1x | 122 | 56% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=1.8 |
5.5% | -85.5% | 0.41 | 0.06 | 3.7x | 114 | 39% |
| MACD fast=11, slow=35, signal=14 |
5.6% | -81.8% | 0.40 | 0.07 | 3.7x | 365 | 49% |
| 볼린저 밴드 돌파 n=34, k=1.7 |
5.3% | -83.8% | 0.40 | 0.06 | 3.5x | 170 | 40% |
| EMA 크로스오버 fast=11, slow=51 |
18.0% | -79.9% | 0.39 | 0.23 | 54.8x | 128 | 58% |
| Donchian 채널 돌파 entryN=31, exitN=45 |
17.1% | -84.4% | 0.38 | 0.20 | 45.6x | 57 | 62% |
| SMA 크로스오버 fast=7, slow=186 |
16.5% | -81.4% | 0.37 | 0.20 | 40.4x | 70 | 59% |
| ADX / DI 방향성 period=39, threshold=12 |
14.5% | -82.8% | 0.35 | 0.17 | 26.2x | 142 | 59% |
| ROC 모멘텀 n=125, threshold=0.02 |
13.5% | -83.4% | 0.34 | 0.16 | 21.3x | 183 | 59% |
| Parabolic SAR step=0.01, maxStep=0.28 |
11.5% | -79.9% | 0.32 | 0.14 | 14.0x | 313 | 50% |
| Buy and hold | 21.1% | -89.1% | 0.43 | 0.24 | 101.7x | 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, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)