Trend-Following Backtester · Guide · backtest 한국어
equity · US
Koppers Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Koppers Holdings Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.7%, MDD -48.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.3%, drawdown -83.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -52.9%, Sharpe 0.54, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 10.7%, MDD -48.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=82 |
12.2% | -52.9% | 0.54 | 0.23 | 10.7x | 59 | 52% |
| Supertrend period=20, mult=4.5 |
10.7% | -48.8% | 0.48 | 0.22 | 8.0x | 65 | 54% |
| Donchian 채널 돌파 entryN=25, exitN=74 |
10.5% | -62.9% | 0.46 | 0.17 | 7.8x | 51 | 69% |
| EMA 크로스오버 fast=39, slow=56 |
7.9% | -68.3% | 0.40 | 0.12 | 4.8x | 59 | 54% |
| MACD fast=22, slow=59, signal=24 |
6.0% | -78.1% | 0.34 | 0.08 | 3.3x | 166 | 50% |
| ROC 모멘텀 n=77, threshold=-0.02 |
5.9% | -57.7% | 0.34 | 0.10 | 3.3x | 173 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.4% | -57.4% | 0.29 | 0.08 | 2.4x | 184 | 52% |
| 볼린저 밴드 돌파 n=50, k=1.7 |
4.3% | -63.2% | 0.29 | 0.07 | 2.4x | 104 | 38% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=5, mult=1.6 |
3.6% | -69.2% | 0.26 | 0.05 | 2.1x | 126 | 42% |
| ADX / DI 방향성 period=32, threshold=13 |
2.8% | -55.6% | 0.24 | 0.05 | 1.8x | 164 | 37% |
| Buy and hold | 5.3% | -83.7% | 0.35 | 0.06 | 2.9x | 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 38-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 38-day average falls below the 82-day average