Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hyliion Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of Hyliion Holdings Corp.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 43.1%, MDD -35.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.7%, drawdown -99.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 43.1%, MDD -35.6%, Sharpe 0.93, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 57.8%p higher than buy and hold, while drawdown improves by 63.4%p (CAGR 43.1%, MDD -35.6%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=29, mult=3.2 |
43.1% | -35.6% | 0.93 | 1.21 | 10.9x | 12 | 10% |
| 볼린저 밴드 돌파 n=19, k=2.9 |
40.9% | -42.6% | 0.90 | 0.96 | 9.8x | 16 | 10% |
| Donchian 채널 돌파 entryN=96, exitN=8 |
30.2% | -47.1% | 0.76 | 0.64 | 5.8x | 16 | 10% |
| MACD fast=11, slow=49, signal=11 |
29.8% | -79.8% | 0.71 | 0.37 | 5.7x | 88 | 52% |
| ADX / DI 방향성 period=8, threshold=29 |
30.6% | -75.0% | 0.71 | 0.41 | 5.9x | 96 | 30% |
| Supertrend period=24, mult=3.3 |
28.5% | -70.8% | 0.69 | 0.40 | 5.3x | 36 | 43% |
| EMA 크로스오버 fast=30, slow=112 |
25.2% | -71.9% | 0.65 | 0.35 | 4.5x | 16 | 35% |
| SMA 크로스오버 fast=18, slow=26 |
23.0% | -87.3% | 0.62 | 0.26 | 4.0x | 81 | 44% |
| Parabolic SAR step=0.06, maxStep=0.22 |
16.6% | -87.7% | 0.56 | 0.19 | 2.8x | 243 | 47% |
| ROC 모멘텀 n=103, threshold=0.11 |
15.3% | -72.4% | 0.52 | 0.21 | 2.6x | 31 | 34% |
| Buy and hold | -14.7% | -99.0% | 0.28 | -0.15 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average