Trend-Following Backtester · Guide · backtest 한국어
equity · US
KLA Corporation backtest
10 trend-following strategies were compared on the full daily history of KLA Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -81.0%, Sharpe 0.51, 61% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=17, slow=179 |
12.7% | -81.0% | 0.51 | 0.16 | 240.9x | 87 | 61% |
| EMA 크로스오버 fast=28, slow=124 |
12.5% | -84.3% | 0.51 | 0.15 | 219.1x | 99 | 62% |
| Donchian 채널 돌파 entryN=77, exitN=77 |
10.4% | -77.2% | 0.45 | 0.13 | 92.3x | 77 | 63% |
| Supertrend period=8, mult=4.6 |
9.2% | -65.8% | 0.43 | 0.14 | 57.1x | 172 | 55% |
| ROC 모멘텀 n=131, threshold=0.1 |
8.5% | -79.2% | 0.41 | 0.11 | 42.4x | 397 | 49% |
| 볼린저 밴드 돌파 n=94, k=1.7 |
7.9% | -74.4% | 0.40 | 0.11 | 32.0x | 150 | 43% |
| ADX / DI 방향성 period=32, threshold=25 |
4.0% | -28.1% | 0.37 | 0.14 | 6.0x | 40 | 7% |
| MACD fast=39, slow=48, signal=46 |
6.8% | -72.3% | 0.36 | 0.09 | 20.2x | 286 | 53% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=16, mult=1.7 |
5.0% | -82.5% | 0.31 | 0.06 | 9.1x | 240 | 51% |
| Parabolic SAR step=0.04, maxStep=0.1 |
-3.7% | -99.6% | 0.07 | -0.04 | 0.2x | 1126 | 53% |
| Buy and hold | 17.4% | -84.4% | 0.57 | 0.21 | 1573.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 17-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 17-day average falls below the 179-day average