Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HDC backtest
10 trend-following strategies were compared on the full daily history of HDC. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.2%, MDD -50.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.1%, drawdown -90.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -64.8%, Sharpe 0.51, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 5.2%, MDD -50.8%, exposure 33%).
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=181 |
12.2% | -64.8% | 0.51 | 0.19 | 21.4x | 38 | 51% |
| Donchian 채널 돌파 entryN=66, exitN=62 |
9.5% | -78.1% | 0.44 | 0.12 | 11.2x | 44 | 52% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=17, mult=2.8 |
8.7% | -58.4% | 0.43 | 0.15 | 9.1x | 68 | 38% |
| ROC 모멘텀 n=79, threshold=0.03 |
9.1% | -71.6% | 0.43 | 0.13 | 10.2x | 230 | 49% |
| EMA 크로스오버 fast=39, slow=137 |
7.9% | -76.8% | 0.39 | 0.10 | 7.6x | 46 | 52% |
| Supertrend period=12, mult=4.1 |
5.3% | -88.4% | 0.32 | 0.06 | 3.9x | 96 | 56% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
5.2% | -50.8% | 0.32 | 0.10 | 3.9x | 90 | 33% |
| ADX / DI 방향성 period=38, threshold=14 |
4.9% | -78.3% | 0.31 | 0.06 | 3.5x | 122 | 36% |
| MACD fast=23, slow=54, signal=50 |
2.3% | -80.7% | 0.24 | 0.03 | 1.8x | 172 | 54% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-6.0% | -90.7% | -0.01 | -0.07 | 0.2x | 610 | 51% |
| Buy and hold | 5.1% | -90.9% | 0.34 | 0.06 | 3.7x | 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 181-day average
- Sell — Sell (to cash) when the 34-day average falls below the 181-day average