Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kirby Corporation backtest
10 trend-following strategies were compared on the full daily history of Kirby Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -95.8%).
Sharpe leader (same as main): Supertrend — CAGR 7.2%, MDD -77.8%, Sharpe 0.39, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=5 |
7.2% | -77.8% | 0.39 | 0.09 | 25.7x | 144 | 57% |
| SMA 크로스오버 fast=33, slow=116 |
6.6% | -77.0% | 0.37 | 0.09 | 19.9x | 112 | 60% |
| Donchian 채널 돌파 entryN=40, exitN=63 |
6.6% | -87.4% | 0.36 | 0.07 | 19.1x | 108 | 68% |
| EMA 크로스오버 fast=47, slow=60 |
6.0% | -72.2% | 0.35 | 0.08 | 15.3x | 120 | 61% |
| ADX / DI 방향성 period=36, threshold=32 |
1.2% | -26.2% | 0.22 | 0.04 | 1.7x | 14 | 3% |
| ROC 모멘텀 n=97, threshold=-0.04 |
2.0% | -83.7% | 0.21 | 0.02 | 2.5x | 413 | 67% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
1.1% | -74.7% | 0.16 | 0.02 | 1.7x | 164 | 33% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.6% | -90.8% | 0.08 | -0.02 | 0.5x | 386 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2 |
-0.8% | -87.3% | 0.08 | -0.01 | 0.7x | 284 | 42% |
| MACD fast=16, slow=33, signal=15 |
-3.5% | -96.3% | 0.01 | -0.04 | 0.2x | 671 | 50% |
| Buy and hold | 8.5% | -95.8% | 0.40 | 0.09 | 44.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)