Trend-Following Backtester · Guide · backtest 한국어
equity · US
KB Home backtest
10 trend-following strategies were compared on the full daily history of KB Home. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.6%, MDD -55.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -79.8%, Sharpe 0.35, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 4.6%, MDD -55.3%, exposure 36%).
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=25, slow=37 |
6.3% | -79.8% | 0.35 | 0.08 | 11.4x | 311 | 53% |
| Supertrend period=28, mult=4.9 |
5.4% | -75.8% | 0.32 | 0.07 | 8.2x | 129 | 50% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=16, mult=2.7 |
4.6% | -55.3% | 0.30 | 0.08 | 6.0x | 130 | 36% |
| 볼린저 밴드 돌파 n=55, k=1.9 |
4.6% | -64.4% | 0.30 | 0.07 | 6.0x | 161 | 37% |
| Donchian 채널 돌파 entryN=33, exitN=23 |
3.7% | -59.9% | 0.27 | 0.06 | 4.3x | 167 | 46% |
| EMA 크로스오버 fast=16, slow=106 |
1.9% | -79.5% | 0.21 | 0.02 | 2.1x | 137 | 52% |
| ROC 모멘텀 n=35, threshold=-0.02 |
-0.7% | -79.6% | 0.15 | -0.01 | 0.7x | 653 | 58% |
| ADX / DI 방향성 period=19, threshold=32 |
0.9% | -45.6% | 0.13 | 0.02 | 1.4x | 58 | 7% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.4% | -91.1% | 0.12 | -0.02 | 0.6x | 340 | 53% |
| MACD fast=23, slow=43, signal=22 |
-4.4% | -93.7% | 0.03 | -0.05 | 0.2x | 404 | 53% |
| Buy and hold | 5.6% | -93.8% | 0.35 | 0.06 | 8.9x | 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 25-day average price crosses above the 37-day average
- Sell — Sell (to cash) when the 25-day average falls below the 37-day average