Trend-Following Backtester · Guide · backtest 한국어
equity · SE
HMS Networks AB backtest
10 trend-following strategies were compared on the full daily history of HMS Networks AB. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.4%, drawdown -54.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -64.1%, Sharpe 0.54, 89% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=71 |
13.6% | -64.1% | 0.54 | 0.21 | 11.0x | 35 | 89% |
| ROC 모멘텀 n=201, threshold=-0.15 |
12.0% | -53.6% | 0.50 | 0.22 | 8.4x | 87 | 88% |
| Supertrend period=11, mult=4.9 |
9.9% | -46.7% | 0.48 | 0.21 | 6.0x | 50 | 60% |
| SMA 크로스오버 fast=14, slow=129 |
10.0% | -51.0% | 0.48 | 0.20 | 6.0x | 59 | 61% |
| EMA 크로스오버 fast=38, slow=68 |
9.2% | -45.9% | 0.45 | 0.20 | 5.2x | 53 | 61% |
| 볼린저 밴드 돌파 n=31, k=2.6 |
6.1% | -46.2% | 0.41 | 0.13 | 3.1x | 83 | 27% |
| Parabolic SAR step=0.005, maxStep=0.08 |
7.6% | -58.7% | 0.40 | 0.13 | 4.0x | 143 | 55% |
| ADX / DI 방향성 period=10, threshold=32 |
4.9% | -35.3% | 0.37 | 0.14 | 2.5x | 144 | 20% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=2.6 |
5.5% | -27.9% | 0.36 | 0.20 | 2.8x | 76 | 32% |
| MACD fast=16, slow=30, signal=17 |
4.9% | -65.7% | 0.31 | 0.07 | 2.5x | 249 | 50% |
| Buy and hold | 19.4% | -54.2% | 0.65 | 0.36 | 28.3x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 71 days