Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kratos Defense & Security Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kratos Defense & Security Solutions, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.6%, MDD -43.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.2%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -72.7%, Sharpe 0.48, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 3.6%, MDD -43.6%, exposure 20%).
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=73, slow=264 |
10.8% | -72.7% | 0.48 | 0.15 | 15.5x | 18 | 45% |
| EMA 크로스오버 fast=42, slow=166 |
7.5% | -74.0% | 0.38 | 0.10 | 6.9x | 32 | 45% |
| ROC 모멘텀 n=124, threshold=0.1 |
7.2% | -80.5% | 0.38 | 0.09 | 6.5x | 200 | 39% |
| Supertrend period=14, mult=2.8 |
7.0% | -79.6% | 0.36 | 0.09 | 6.0x | 172 | 49% |
| 볼린저 밴드 돌파 n=31, k=2.7 |
5.6% | -58.6% | 0.33 | 0.10 | 4.3x | 116 | 24% |
| Donchian 채널 돌파 entryN=107, exitN=59 |
5.1% | -86.9% | 0.32 | 0.06 | 3.8x | 34 | 38% |
| MACD fast=20, slow=35, signal=24 |
2.2% | -82.1% | 0.27 | 0.03 | 1.8x | 255 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=3.9 |
3.6% | -43.6% | 0.26 | 0.08 | 2.6x | 56 | 20% |
| Parabolic SAR step=0.01, maxStep=0.28 |
2.3% | -82.7% | 0.26 | 0.03 | 1.9x | 338 | 50% |
| ADX / DI 방향성 period=14, threshold=19 |
1.7% | -76.3% | 0.22 | 0.02 | 1.6x | 334 | 35% |
| Buy and hold | -9.2% | -99.8% | 0.16 | -0.09 | 0.1x | 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 73-day average price crosses above the 264-day average
- Sell — Sell (to cash) when the 73-day average falls below the 264-day average