Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hillman Solutions Corp. backtest
10 trend-following strategies were compared on the full daily history of Hillman Solutions Corp.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -6.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -50.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.1%, MDD -30.3%, Sharpe 0.21, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 0.7%, MDD -6.5%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=57 |
2.1% | -30.3% | 0.21 | 0.07 | 1.1x | 25 | 45% |
| Supertrend period=14, mult=4.7 |
1.8% | -37.0% | 0.20 | 0.05 | 1.1x | 16 | 50% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
0.7% | -6.5% | 0.18 | 0.10 | 1.0x | 4 | 3% |
| ADX / DI 방향성 period=31, threshold=22 |
0.9% | -22.1% | 0.15 | 0.04 | 1.1x | 4 | 10% |
| MACD fast=17, slow=54, signal=16 |
-1.9% | -40.9% | 0.07 | -0.05 | 0.9x | 57 | 46% |
| Donchian 채널 돌파 entryN=15, exitN=20 |
-2.4% | -42.4% | 0.06 | -0.06 | 0.9x | 29 | 56% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=3 |
0.1% | -6.5% | 0.04 | 0.02 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=54, threshold=-0.04 |
-2.9% | -35.4% | 0.03 | -0.08 | 0.8x | 59 | 53% |
| EMA 크로스오버 fast=20, slow=51 |
-3.3% | -39.1% | -0.01 | -0.09 | 0.8x | 23 | 46% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-3.9% | -49.8% | -0.02 | -0.08 | 0.8x | 114 | 50% |
| Buy and hold | -3.9% | -50.9% | 0.08 | -0.08 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 21-day average falls below the 57-day average