Trend-Following Backtester · Guide · backtest 한국어
equity · TH
KCE Electronics Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of KCE Electronics Public Co., Ltd.. 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 31.0%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.7%, drawdown -93.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.0%, MDD -31.2%, Sharpe 1.11, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 62.6%p (CAGR 31.0%, MDD -31.2%, exposure 39%).
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=74, k=1.9 |
31.0% | -31.2% | 1.11 | 0.99 | 1295.4x | 51 | 39% |
| Donchian 채널 돌파 entryN=76, exitN=33 |
28.4% | -43.1% | 1.04 | 0.66 | 767.3x | 43 | 41% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=3.1 |
27.1% | -41.8% | 1.02 | 0.65 | 582.9x | 55 | 38% |
| SMA 크로스오버 fast=3, slow=100 |
28.9% | -47.8% | 0.98 | 0.60 | 845.2x | 111 | 50% |
| ROC 모멘텀 n=58, threshold=0.06 |
27.4% | -49.5% | 0.97 | 0.55 | 617.8x | 239 | 43% |
| EMA 크로스오버 fast=10, slow=97 |
26.9% | -46.4% | 0.94 | 0.58 | 558.2x | 75 | 50% |
| Supertrend period=8, mult=4.6 |
26.0% | -69.0% | 0.86 | 0.38 | 462.1x | 81 | 57% |
| ADX / DI 방향성 period=33, threshold=18 |
21.2% | -48.9% | 0.85 | 0.43 | 165.8x | 132 | 35% |
| Parabolic SAR step=0.01, maxStep=0.32 |
15.6% | -60.8% | 0.63 | 0.26 | 47.2x | 286 | 50% |
| MACD fast=16, slow=64, signal=18 |
14.9% | -58.3% | 0.60 | 0.26 | 40.4x | 236 | 52% |
| Buy and hold | 9.7% | -93.8% | 0.43 | 0.10 | 11.8x | 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 74-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 74-day middle average