Trend-Following Backtester · Guide · backtest 한국어
equity · NL
HAL Trust backtest
10 trend-following strategies were compared on the full daily history of HAL Trust. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -32.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -57.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -37.0%, Sharpe 0.54, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 7.6%, MDD -32.3%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=46, slow=188 |
7.8% | -37.0% | 0.54 | 0.21 | 8.1x | 35 | 63% |
| SMA 크로스오버 fast=15, slow=145 |
7.6% | -32.3% | 0.53 | 0.24 | 7.8x | 68 | 62% |
| Supertrend period=8, mult=4.5 |
6.2% | -41.4% | 0.47 | 0.15 | 5.4x | 90 | 59% |
| Donchian 채널 돌파 entryN=47, exitN=74 |
6.4% | -41.9% | 0.46 | 0.15 | 5.7x | 49 | 69% |
| ROC 모멘텀 n=76, threshold=-0.08 |
5.9% | -50.4% | 0.40 | 0.12 | 5.0x | 159 | 85% |
| ADX / DI 방향성 period=32, threshold=36 |
0.8% | -5.4% | 0.35 | 0.15 | 1.3x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=13, mult=1.8 |
3.9% | -43.1% | 0.35 | 0.09 | 2.9x | 122 | 47% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
1.3% | -28.8% | 0.22 | 0.05 | 1.5x | 44 | 13% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.8% | -43.5% | 0.19 | 0.04 | 1.6x | 206 | 55% |
| MACD fast=19, slow=46, signal=18 |
-1.2% | -63.9% | -0.01 | -0.02 | 0.7x | 309 | 49% |
| Buy and hold | 7.6% | -57.5% | 0.43 | 0.13 | 7.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 188-day EMA
- Sell — Sell when the 46-day EMA falls below the 188-day EMA