Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Hermes International SCA backtest
10 trend-following strategies were compared on the full daily history of Hermes International SCA. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.8%, drawdown -46.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.1%, MDD -48.0%, Sharpe 0.59, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
14.1% | -48.0% | 0.59 | 0.29 | 33.5x | 11 | 100% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=8, mult=2.9 |
6.5% | -22.0% | 0.56 | 0.30 | 5.4x | 88 | 25% |
| Donchian 채널 돌파 entryN=50, exitN=61 |
9.3% | -60.3% | 0.51 | 0.15 | 10.6x | 50 | 68% |
| Supertrend period=25, mult=2.5 |
7.9% | -43.4% | 0.45 | 0.18 | 7.6x | 210 | 60% |
| SMA 크로스오버 fast=16, slow=173 |
7.2% | -43.9% | 0.43 | 0.16 | 6.3x | 64 | 63% |
| EMA 크로스오버 fast=43, slow=103 |
7.3% | -45.0% | 0.42 | 0.16 | 6.4x | 48 | 66% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
5.1% | -41.8% | 0.38 | 0.12 | 3.8x | 136 | 40% |
| ADX / DI 방향성 period=27, threshold=36 |
2.0% | -29.9% | 0.32 | 0.07 | 1.7x | 14 | 4% |
| MACD fast=14, slow=59, signal=15 |
4.3% | -51.8% | 0.31 | 0.08 | 3.0x | 336 | 51% |
| Parabolic SAR step=0.01, maxStep=0.06 |
3.0% | -56.5% | 0.24 | 0.05 | 2.2x | 298 | 59% |
| Buy and hold | 13.8% | -46.9% | 0.58 | 0.29 | 31.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below