Trend-Following Backtester · Guide · backtest 한국어
equity · US
Korn Ferry backtest
10 trend-following strategies were compared on the full daily history of Korn Ferry. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.5%, MDD -59.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.9%, drawdown -86.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -63.1%, Sharpe 0.45, 78% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 8.5%, MDD -59.1%, exposure 54%).
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=18, exitN=60 |
10.1% | -63.1% | 0.45 | 0.16 | 13.9x | 77 | 78% |
| EMA 크로스오버 fast=13, slow=151 |
8.8% | -68.1% | 0.45 | 0.13 | 10.1x | 63 | 55% |
| Supertrend period=10, mult=2.6 |
8.5% | -59.1% | 0.43 | 0.14 | 9.5x | 223 | 54% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
3.4% | -29.3% | 0.39 | 0.12 | 2.5x | 16 | 7% |
| SMA 크로스오버 fast=14, slow=148 |
7.0% | -74.5% | 0.38 | 0.09 | 6.5x | 67 | 57% |
| ROC 모멘텀 n=199, threshold=0.07 |
4.7% | -49.6% | 0.31 | 0.09 | 3.5x | 163 | 46% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=14, mult=3.8 |
2.9% | -52.7% | 0.28 | 0.05 | 2.2x | 50 | 13% |
| MACD fast=20, slow=53, signal=16 |
2.5% | -82.8% | 0.23 | 0.03 | 1.9x | 301 | 51% |
| ADX / DI 방향성 period=31, threshold=28 |
1.1% | -37.7% | 0.17 | 0.03 | 1.4x | 22 | 5% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.4% | -85.2% | 0.07 | -0.03 | 0.5x | 491 | 52% |
| Buy and hold | 6.9% | -86.6% | 0.37 | 0.08 | 6.3x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 60 days