Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Kuwait Finance House K.S.C. backtest
10 trend-following strategies were compared on the full daily history of Kuwait Finance House K.S.C.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -100.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -20.6%, MDD -100.0%, Sharpe 0.56, 95% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.8%, MDD -18.3%, exposure 4%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=17, threshold=-0.09 |
-20.6% | -100.0% | 0.56 | -0.21 | 0.0x | 191 | 95% |
| SMA 크로스오버 fast=48, slow=146 |
-18.8% | -100.0% | 0.43 | -0.19 | 0.0x | 59 | 66% |
| Supertrend period=3, mult=3.7 |
-33.3% | -100.0% | 0.43 | -0.33 | 0.0x | 237 | 57% |
| Donchian 채널 돌파 entryN=11, exitN=68 |
-43.3% | -100.0% | 0.29 | -0.43 | 0.0x | 111 | 87% |
| EMA 크로스오버 fast=38, slow=179 |
-34.9% | -100.0% | 0.26 | -0.35 | 0.0x | 39 | 71% |
| MACD fast=20, slow=56, signal=17 |
-45.3% | -100.0% | 0.24 | -0.45 | 0.0x | 241 | 50% |
| ADX / DI 방향성 period=26, threshold=38 |
0.8% | -18.3% | 0.18 | 0.05 | 1.2x | 16 | 4% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-59.2% | -100.0% | -0.20 | -0.59 | 0.0x | 463 | 52% |
| 볼린저 밴드 돌파 n=16, k=1.2 |
-59.6% | -100.0% | -0.22 | -0.60 | 0.0x | 373 | 42% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=1.1 |
-62.1% | -100.0% | -0.52 | -0.62 | 0.0x | 225 | 52% |
| Buy and hold | 9.2% | -100.0% | 0.21 | 0.09 | 10.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 17-day return is greater than -9%
- Sell — Sell when the 17-day return drops to -9% or below