Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kimberly-Clark Corporation backtest
10 trend-following strategies were compared on the full daily history of Kimberly-Clark Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -41.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -58.9%, Sharpe 0.34, 91% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=85 |
5.0% | -58.9% | 0.34 | 0.08 | 9.5x | 125 | 91% |
| EMA 크로스오버 fast=56, slow=196 |
2.8% | -61.6% | 0.24 | 0.05 | 3.6x | 66 | 69% |
| SMA 크로스오버 fast=41, slow=211 |
2.4% | -61.0% | 0.22 | 0.04 | 3.0x | 83 | 64% |
| MACD fast=40, slow=82, signal=32 |
1.3% | -45.0% | 0.16 | 0.03 | 1.8x | 271 | 49% |
| ROC 모멘텀 n=147, threshold=-0.04 |
0.4% | -83.4% | 0.11 | 0.00 | 1.2x | 359 | 75% |
| ADX / DI 방향성 period=38, threshold=20 |
0.1% | -38.8% | 0.05 | 0.00 | 1.1x | 74 | 14% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
0.1% | -28.8% | 0.05 | 0.00 | 1.1x | 34 | 7% |
| Supertrend period=20, mult=4.2 |
-0.5% | -70.4% | 0.05 | -0.01 | 0.8x | 215 | 55% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=3.7 |
0.1% | -18.6% | 0.04 | 0.00 | 1.0x | 40 | 3% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.5% | -64.7% | -0.02 | -0.02 | 0.5x | 400 | 53% |
| Buy and hold | 8.5% | -41.4% | 0.47 | 0.20 | 43.5x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 85 days