Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Hexagon AB Class B backtest
10 trend-following strategies were compared on the full daily history of Hexagon AB Class B. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.7%, MDD -40.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.4%, drawdown -82.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.7%, MDD -40.7%, Sharpe 0.72, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 42.0%p (CAGR 15.7%, MDD -40.7%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=70, exitN=68 |
15.7% | -40.7% | 0.72 | 0.38 | 47.7x | 38 | 66% |
| EMA 크로스오버 fast=18, slow=164 |
14.1% | -52.7% | 0.66 | 0.27 | 32.9x | 44 | 68% |
| SMA 크로스오버 fast=16, slow=124 |
13.4% | -49.5% | 0.64 | 0.27 | 28.4x | 70 | 67% |
| ROC 모멘텀 n=218, threshold=0.05 |
11.5% | -53.7% | 0.58 | 0.21 | 18.2x | 118 | 63% |
| Supertrend period=24, mult=4 |
9.0% | -62.2% | 0.48 | 0.14 | 9.8x | 133 | 61% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=1.7 |
6.9% | -38.7% | 0.43 | 0.18 | 5.9x | 183 | 48% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
5.6% | -40.6% | 0.37 | 0.14 | 4.2x | 183 | 46% |
| ADX / DI 방향성 period=39, threshold=13 |
5.2% | -45.8% | 0.37 | 0.11 | 3.8x | 162 | 36% |
| MACD fast=19, slow=49, signal=22 |
4.3% | -73.8% | 0.29 | 0.06 | 3.1x | 259 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.2% | -72.9% | 0.25 | 0.04 | 2.3x | 218 | 58% |
| Buy and hold | 16.4% | -82.7% | 0.61 | 0.20 | 56.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 70 days
- Sell — Sell when price breaks below the lowest low of the last 68 days