Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Hawaiian, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Hawaiian, Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.1%, MDD -9.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.1%, drawdown -60.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.1%, MDD -9.4%, Sharpe 0.30, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.9%, MDD -53.0%, exposure 92%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 50.9%p (CAGR 1.1%, MDD -9.4%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=3.5 |
1.1% | -9.4% | 0.30 | 0.12 | 1.1x | 4 | 2% |
| Donchian 채널 돌파 entryN=5, exitN=61 |
3.9% | -53.0% | 0.27 | 0.07 | 1.5x | 35 | 92% |
| MACD fast=14, slow=49, signal=14 |
0.8% | -61.0% | 0.15 | 0.01 | 1.1x | 122 | 49% |
| Supertrend period=10, mult=3.9 |
-0.3% | -43.1% | 0.09 | -0.01 | 1.0x | 46 | 50% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=3.3 |
0.2% | -13.3% | 0.07 | 0.02 | 1.0x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.8% | -52.1% | 0.03 | -0.03 | 0.8x | 90 | 50% |
| ADX / DI 방향성 period=36, threshold=19 |
-0.3% | -24.9% | 0.01 | -0.01 | 1.0x | 16 | 8% |
| SMA 크로스오버 fast=8, slow=22 |
-3.7% | -58.7% | -0.06 | -0.06 | 0.7x | 138 | 49% |
| ROC 모멘텀 n=16, threshold=0.06 |
-2.6% | -37.9% | -0.08 | -0.07 | 0.8x | 172 | 19% |
| EMA 크로스오버 fast=29, slow=64 |
-6.5% | -63.1% | -0.21 | -0.10 | 0.5x | 41 | 54% |
| Buy and hold | 1.1% | -60.3% | 0.19 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 18-day middle average