Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kohl's Corporation backtest
10 trend-following strategies were compared on the full daily history of Kohl's Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -92.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -81.4%, Sharpe 0.25, 54% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=12, slow=192 |
3.3% | -81.4% | 0.25 | 0.04 | 3.0x | 85 | 54% |
| Donchian 채널 돌파 entryN=14, exitN=75 |
1.7% | -93.8% | 0.23 | 0.02 | 1.8x | 113 | 82% |
| ADX / DI 방향성 period=23, threshold=37 |
1.5% | -29.0% | 0.22 | 0.05 | 1.7x | 20 | 3% |
| EMA 크로스오버 fast=58, slow=218 |
2.3% | -86.6% | 0.22 | 0.03 | 2.1x | 45 | 57% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.8% | -74.4% | 0.21 | 0.02 | 1.8x | 287 | 52% |
| 볼린저 밴드 돌파 n=39, k=2.8 |
1.3% | -59.5% | 0.16 | 0.02 | 1.6x | 80 | 16% |
| ROC 모멘텀 n=132, threshold=-0.01 |
-0.1% | -85.5% | 0.14 | -0.00 | 1.0x | 323 | 57% |
| Supertrend period=10, mult=3.7 |
-1.1% | -79.9% | 0.11 | -0.01 | 0.7x | 199 | 53% |
| MACD fast=23, slow=53, signal=22 |
-1.8% | -86.0% | 0.10 | -0.02 | 0.5x | 323 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=4 |
-0.1% | -57.2% | 0.08 | -0.00 | 1.0x | 82 | 21% |
| Buy and hold | 7.2% | -92.5% | 0.38 | 0.08 | 10.9x | 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 12-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 12-day average falls below the 192-day average