Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kaiser Aluminum Corporation backtest
10 trend-following strategies were compared on the full daily history of Kaiser Aluminum Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -60.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -82.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -33.5%, Sharpe 0.41, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.5%, MDD -60.5%, exposure 56%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 49.0%p (CAGR 5.5%, MDD -60.5%, exposure 56%).
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=3.4 |
3.2% | -33.5% | 0.41 | 0.10 | 1.9x | 16 | 9% |
| ADX / DI 방향성 period=28, threshold=26 |
3.3% | -28.1% | 0.39 | 0.12 | 1.9x | 16 | 7% |
| SMA 크로스오버 fast=47, slow=89 |
5.5% | -60.5% | 0.34 | 0.09 | 2.9x | 71 | 56% |
| Donchian 채널 돌파 entryN=29, exitN=68 |
4.0% | -67.6% | 0.28 | 0.06 | 2.2x | 43 | 75% |
| Supertrend period=29, mult=4.6 |
3.6% | -51.3% | 0.27 | 0.07 | 2.0x | 66 | 54% |
| EMA 크로스오버 fast=37, slow=74 |
3.3% | -55.1% | 0.26 | 0.06 | 1.9x | 63 | 59% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=25, mult=4 |
2.4% | -41.8% | 0.25 | 0.06 | 1.6x | 22 | 10% |
| MACD fast=10, slow=27, signal=12 |
2.0% | -75.6% | 0.21 | 0.03 | 1.5x | 346 | 52% |
| ROC 모멘텀 n=75, threshold=0 |
0.4% | -72.5% | 0.15 | 0.01 | 1.1x | 277 | 58% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-3.2% | -89.2% | 0.02 | -0.04 | 0.5x | 364 | 53% |
| Buy and hold | 6.8% | -82.5% | 0.37 | 0.08 | 3.8x | 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 38-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 38-day middle average