Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kornit Digital Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kornit Digital Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.5%, MDD -26.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.6%, drawdown -93.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.1%, MDD -41.0%, Sharpe 0.63, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 10.5%, MDD -26.4%, exposure 26%).
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=8, slow=160 |
17.1% | -41.0% | 0.63 | 0.42 | 6.1x | 21 | 49% |
| Donchian 채널 돌파 entryN=60, exitN=59 |
16.9% | -44.6% | 0.63 | 0.38 | 6.0x | 13 | 49% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
13.4% | -31.5% | 0.62 | 0.43 | 4.2x | 25 | 28% |
| EMA 크로스오버 fast=26, slow=80 |
15.1% | -39.2% | 0.58 | 0.38 | 5.0x | 25 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=3.3 |
10.5% | -26.4% | 0.53 | 0.40 | 3.1x | 26 | 26% |
| ROC 모멘텀 n=96, threshold=0.02 |
10.6% | -64.0% | 0.46 | 0.17 | 3.2x | 95 | 49% |
| ADX / DI 방향성 period=30, threshold=17 |
7.2% | -51.2% | 0.39 | 0.14 | 2.2x | 50 | 25% |
| Supertrend period=24, mult=4.7 |
7.7% | -58.8% | 0.38 | 0.13 | 2.3x | 31 | 50% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-9.2% | -80.6% | -0.08 | -0.11 | 0.3x | 272 | 53% |
| MACD fast=10, slow=50, signal=17 |
-13.9% | -92.3% | -0.21 | -0.15 | 0.2x | 166 | 52% |
| Buy and hold | 1.6% | -93.0% | 0.31 | 0.02 | 1.2x | 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 8-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 8-day average falls below the 160-day average