Trend-Following Backtester · Guide · backtest 한국어
equity · US
KBR, Inc. backtest
10 trend-following strategies were compared on the full daily history of KBR, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.4%, MDD -45.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.9%, drawdown -77.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -45.5%, Sharpe 0.27, 32% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 3.4%, MDD -45.5%, exposure 32%).
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=107, exitN=32 |
3.4% | -45.5% | 0.27 | 0.07 | 1.9x | 36 | 32% |
| SMA 크로스오버 fast=30, slow=135 |
1.6% | -67.1% | 0.19 | 0.02 | 1.4x | 42 | 55% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
1.2% | -39.4% | 0.16 | 0.03 | 1.3x | 36 | 19% |
| EMA 크로스오버 fast=21, slow=84 |
0.6% | -70.0% | 0.14 | 0.01 | 1.1x | 62 | 54% |
| ROC 모멘텀 n=62, threshold=-0.04 |
-0.0% | -58.9% | 0.13 | -0.00 | 1.0x | 194 | 63% |
| ADX / DI 방향성 period=38, threshold=20 |
0.8% | -31.6% | 0.13 | 0.03 | 1.2x | 26 | 9% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=13, mult=1.5 |
0.3% | -55.0% | 0.12 | 0.01 | 1.1x | 116 | 42% |
| Supertrend period=13, mult=2 |
-1.2% | -69.3% | 0.09 | -0.02 | 0.8x | 254 | 55% |
| MACD fast=12, slow=31, signal=19 |
-5.8% | -80.6% | -0.08 | -0.07 | 0.3x | 263 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-9.2% | -87.7% | -0.23 | -0.10 | 0.1x | 364 | 52% |
| Buy and hold | 2.9% | -77.6% | 0.28 | 0.04 | 1.8x | 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 107 days
- Sell — Sell when price breaks below the lowest low of the last 32 days