Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kronos Worldwide Inc backtest
10 trend-following strategies were compared on the full daily history of Kronos Worldwide Inc. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.0%, MDD -23.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.6%, drawdown -89.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.0%, MDD -23.8%, Sharpe 0.49, 13% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.7%, MDD -63.4%, exposure 35%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 65.4%p (CAGR 7.0%, MDD -23.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=20 |
7.0% | -23.8% | 0.49 | 0.29 | 4.6x | 30 | 13% |
| 볼린저 밴드 돌파 n=54, k=3 |
6.9% | -29.2% | 0.47 | 0.24 | 4.5x | 26 | 14% |
| Donchian 채널 돌파 entryN=114, exitN=63 |
8.7% | -63.4% | 0.45 | 0.14 | 6.7x | 26 | 35% |
| ROC 모멘텀 n=140, threshold=0.08 |
7.1% | -62.1% | 0.39 | 0.11 | 4.7x | 97 | 36% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=3.1 |
4.8% | -51.6% | 0.32 | 0.09 | 2.9x | 70 | 26% |
| EMA 크로스오버 fast=56, slow=128 |
5.1% | -73.3% | 0.32 | 0.07 | 3.1x | 31 | 40% |
| SMA 크로스오버 fast=18, slow=103 |
4.9% | -77.1% | 0.31 | 0.06 | 3.0x | 68 | 48% |
| Supertrend period=10, mult=3.9 |
2.1% | -85.0% | 0.23 | 0.02 | 1.6x | 113 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.0% | -85.2% | 0.08 | -0.04 | 0.5x | 201 | 49% |
| MACD fast=23, slow=56, signal=24 |
-4.3% | -84.6% | 0.05 | -0.05 | 0.4x | 194 | 50% |
| Buy and hold | -1.6% | -89.2% | 0.23 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)