Trend-Following Backtester · Guide · backtest 한국어
equity · US
KKR & Co. Inc. backtest
10 trend-following strategies were compared on the full daily history of KKR & Co. Inc.. 0 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 14.9%, MDD -40.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -57.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.9%, MDD -40.8%, Sharpe 0.72, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 16.9%p (CAGR 14.9%, MDD -40.8%, exposure 64%).
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=69, exitN=82 |
14.9% | -40.8% | 0.72 | 0.36 | 9.3x | 19 | 64% |
| EMA 크로스오버 fast=33, slow=89 |
11.2% | -42.1% | 0.58 | 0.27 | 5.5x | 39 | 64% |
| SMA 크로스오버 fast=15, slow=149 |
11.1% | -40.8% | 0.57 | 0.27 | 5.4x | 39 | 63% |
| ROC 모멘텀 n=65, threshold=-0.03 |
10.9% | -60.7% | 0.55 | 0.18 | 5.3x | 137 | 70% |
| Supertrend period=28, mult=4.7 |
10.9% | -47.4% | 0.55 | 0.23 | 5.3x | 53 | 67% |
| Keltner 채널 돌파 emaPeriod=109, atrPeriod=21, mult=1.6 |
8.7% | -41.3% | 0.50 | 0.21 | 3.8x | 73 | 55% |
| ADX / DI 방향성 period=37, threshold=22 |
4.0% | -13.8% | 0.47 | 0.29 | 1.9x | 18 | 11% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.0% | -47.9% | 0.40 | 0.15 | 3.0x | 141 | 57% |
| 볼린저 밴드 돌파 n=29, k=2.8 |
3.5% | -26.2% | 0.39 | 0.14 | 1.8x | 38 | 15% |
| MACD fast=18, slow=50, signal=19 |
-1.1% | -64.4% | 0.07 | -0.02 | 0.8x | 183 | 51% |
| Buy and hold | 15.8% | -57.7% | 0.59 | 0.27 | 10.7x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 82 days