Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KB금융 backtest
10 trend-following strategies were compared on the full daily history of KB금융. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.4%, MDD -45.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.2%, drawdown -74.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -45.0%, Sharpe 0.38, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 6.4%, MDD -45.0%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=17, slow=96 |
6.4% | -45.0% | 0.38 | 0.14 | 4.6x | 73 | 52% |
| EMA 크로스오버 fast=42, slow=84 |
5.5% | -59.7% | 0.35 | 0.09 | 3.8x | 47 | 53% |
| Donchian 채널 돌파 entryN=119, exitN=42 |
4.6% | -37.6% | 0.34 | 0.12 | 3.0x | 43 | 33% |
| ROC 모멘텀 n=116, threshold=0.08 |
1.9% | -52.1% | 0.19 | 0.04 | 1.6x | 177 | 39% |
| 볼린저 밴드 돌파 n=14, k=3.4 |
1.4% | -28.3% | 0.18 | 0.05 | 1.4x | 28 | 10% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=22, mult=4 |
0.8% | -34.7% | 0.13 | 0.02 | 1.2x | 32 | 11% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.0% | -77.5% | 0.12 | -0.00 | 1.0x | 165 | 52% |
| Supertrend period=17, mult=3.9 |
-0.5% | -67.5% | 0.10 | -0.01 | 0.9x | 115 | 53% |
| ADX / DI 방향성 period=45, threshold=28 |
0.5% | -33.6% | 0.09 | 0.01 | 1.1x | 22 | 11% |
| MACD fast=18, slow=51, signal=19 |
-4.8% | -77.9% | -0.10 | -0.06 | 0.3x | 252 | 50% |
| Buy and hold | 5.2% | -74.5% | 0.32 | 0.07 | 3.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 17-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 17-day average falls below the 96-day average