Trend-Following Backtester · Guide · backtest 한국어
equity · TW
KGI Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of KGI Financial Holding Co., Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -38.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.3%, drawdown -69.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -43.9%, Sharpe 0.47, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -38.1%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 7.5%, MDD -38.1%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=111, exitN=58 |
7.2% | -43.9% | 0.47 | 0.16 | 5.6x | 29 | 44% |
| SMA 크로스오버 fast=47, slow=144 |
7.5% | -38.1% | 0.47 | 0.20 | 5.9x | 43 | 53% |
| EMA 크로스오버 fast=54, slow=107 |
6.8% | -43.4% | 0.43 | 0.16 | 5.0x | 33 | 52% |
| Keltner 채널 돌파 emaPeriod=87, atrPeriod=26, mult=2.4 |
4.5% | -42.8% | 0.35 | 0.11 | 3.0x | 77 | 38% |
| 볼린저 밴드 돌파 n=76, k=1.1 |
3.9% | -42.9% | 0.31 | 0.09 | 2.6x | 105 | 43% |
| ROC 모멘텀 n=119, threshold=0.12 |
3.3% | -52.3% | 0.28 | 0.06 | 2.2x | 159 | 28% |
| ADX / DI 방향성 period=33, threshold=21 |
2.3% | -38.9% | 0.24 | 0.06 | 1.7x | 65 | 17% |
| Supertrend period=27, mult=2.5 |
1.2% | -65.2% | 0.16 | 0.02 | 1.3x | 227 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.1% | -71.4% | 0.09 | -0.00 | 1.0x | 342 | 52% |
| MACD fast=18, slow=47, signal=19 |
-1.5% | -73.7% | 0.02 | -0.02 | 0.7x | 258 | 51% |
| Buy and hold | 4.3% | -69.5% | 0.29 | 0.06 | 2.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 111 days
- Sell — Sell when price breaks below the lowest low of the last 58 days