Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Kingdom Holding Co. backtest
10 trend-following strategies were compared on the full daily history of Kingdom Holding Co.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -29.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -78.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -29.6%, Sharpe 0.53, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 8.0%, MDD -29.6%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=2.6 |
8.0% | -29.6% | 0.53 | 0.27 | 3.6x | 51 | 22% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=26, mult=2.1 |
6.3% | -36.5% | 0.43 | 0.17 | 2.7x | 65 | 27% |
| Supertrend period=25, mult=3.2 |
6.4% | -52.4% | 0.40 | 0.12 | 2.8x | 97 | 45% |
| MACD fast=19, slow=57, signal=19 |
6.3% | -40.8% | 0.40 | 0.15 | 2.7x | 123 | 49% |
| SMA 크로스오버 fast=16, slow=120 |
5.8% | -54.6% | 0.38 | 0.11 | 2.5x | 43 | 40% |
| EMA 크로스오버 fast=33, slow=145 |
5.8% | -50.7% | 0.37 | 0.11 | 2.5x | 25 | 39% |
| Donchian 채널 돌파 entryN=116, exitN=69 |
5.5% | -37.7% | 0.37 | 0.14 | 2.4x | 17 | 30% |
| ROC 모멘텀 n=142, threshold=0.06 |
4.8% | -46.3% | 0.34 | 0.10 | 2.2x | 55 | 31% |
| ADX / DI 방향성 period=22, threshold=19 |
2.7% | -59.6% | 0.23 | 0.05 | 1.5x | 111 | 36% |
| Parabolic SAR step=0.005, maxStep=0.06 |
2.6% | -64.0% | 0.23 | 0.04 | 1.5x | 107 | 47% |
| Buy and hold | 1.8% | -78.9% | 0.21 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 38-day middle average