Trend-Following Backtester · Guide · backtest 한국어
equity · US
Knowles Corporation backtest
10 trend-following strategies were compared on the full daily history of Knowles Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.4%, MDD -24.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.9%, drawdown -70.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -58.0%, Sharpe 0.36, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 2.4%, MDD -24.3%, exposure 13%).
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=34, slow=61 |
6.0% | -58.0% | 0.36 | 0.10 | 2.1x | 47 | 51% |
| Donchian 채널 돌파 entryN=72, exitN=75 |
4.6% | -34.5% | 0.31 | 0.13 | 1.7x | 19 | 54% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=18, mult=3.3 |
2.4% | -24.3% | 0.25 | 0.10 | 1.3x | 20 | 13% |
| Supertrend period=27, mult=3.3 |
1.8% | -47.5% | 0.20 | 0.04 | 1.2x | 70 | 51% |
| EMA 크로스오버 fast=40, slow=203 |
1.4% | -55.6% | 0.17 | 0.03 | 1.2x | 21 | 47% |
| MACD fast=19, slow=58, signal=17 |
0.7% | -72.1% | 0.16 | 0.01 | 1.1x | 126 | 50% |
| ADX / DI 방향성 period=24, threshold=24 |
1.0% | -26.0% | 0.14 | 0.04 | 1.1x | 40 | 16% |
| 볼린저 밴드 돌파 n=46, k=1.3 |
0.6% | -45.9% | 0.14 | 0.01 | 1.1x | 78 | 39% |
| ROC 모멘텀 n=136, threshold=0.04 |
-1.0% | -51.3% | 0.06 | -0.02 | 0.9x | 87 | 45% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-6.6% | -77.0% | -0.16 | -0.09 | 0.4x | 256 | 54% |
| Buy and hold | 1.9% | -70.2% | 0.24 | 0.03 | 1.3x | 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 34-day average price crosses above the 61-day average
- Sell — Sell (to cash) when the 34-day average falls below the 61-day average