Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kopin Corporation backtest
10 trend-following strategies were compared on the full daily history of Kopin Corporation. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.5%, MDD -58.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.7%, drawdown -99.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.0%, MDD -72.1%, Sharpe 0.50, 22% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 9.5%, MDD -58.7%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=2.9 |
13.0% | -72.1% | 0.50 | 0.18 | 66.4x | 89 | 22% |
| 볼린저 밴드 돌파 n=45, k=3 |
12.2% | -58.8% | 0.49 | 0.21 | 53.1x | 68 | 16% |
| ROC 모멘텀 n=155, threshold=0.2 |
12.3% | -68.7% | 0.48 | 0.18 | 53.9x | 245 | 32% |
| ADX / DI 방향성 period=15, threshold=37 |
9.5% | -58.7% | 0.46 | 0.16 | 22.8x | 72 | 7% |
| SMA 크로스오버 fast=51, slow=87 |
7.6% | -93.6% | 0.40 | 0.08 | 12.6x | 118 | 46% |
| Donchian 채널 돌파 entryN=66, exitN=14 |
7.9% | -79.6% | 0.38 | 0.10 | 13.6x | 108 | 20% |
| EMA 크로스오버 fast=53, slow=79 |
5.2% | -93.2% | 0.35 | 0.06 | 5.8x | 79 | 43% |
| MACD fast=10, slow=38, signal=24 |
3.2% | -98.1% | 0.33 | 0.03 | 2.9x | 441 | 51% |
| Supertrend period=25, mult=3.4 |
3.4% | -98.6% | 0.31 | 0.03 | 3.2x | 181 | 43% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-2.4% | -99.5% | 0.22 | -0.02 | 0.4x | 822 | 46% |
| Buy and hold | 1.7% | -99.6% | 0.40 | 0.02 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 59-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 59-day average