Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hamilton Lane Incorporated backtest
10 trend-following strategies were compared on the full daily history of Hamilton Lane Incorporated. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.6%, MDD -39.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.8%, drawdown -63.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.6%, MDD -21.8%, Sharpe 0.95, 31% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 17.6%, MDD -39.1%, exposure 62%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.2%p lower than buy and hold, while drawdown improves by 41.6%p (CAGR 17.6%, MDD -39.1%, exposure 62%).
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=2.2 |
15.6% | -21.8% | 0.95 | 0.71 | 4.0x | 71 | 31% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=26, mult=1.4 |
14.9% | -30.4% | 0.83 | 0.49 | 3.7x | 75 | 39% |
| Donchian 채널 돌파 entryN=116, exitN=18 |
13.6% | -38.7% | 0.83 | 0.35 | 3.4x | 20 | 33% |
| SMA 크로스오버 fast=14, slow=57 |
17.5% | -39.0% | 0.80 | 0.45 | 4.6x | 45 | 59% |
| EMA 크로스오버 fast=6, slow=67 |
17.6% | -39.1% | 0.79 | 0.45 | 4.7x | 47 | 62% |
| Supertrend period=25, mult=4.1 |
16.6% | -37.0% | 0.77 | 0.45 | 4.3x | 35 | 59% |
| ROC 모멘텀 n=121, threshold=0.03 |
12.3% | -37.0% | 0.61 | 0.33 | 3.0x | 70 | 59% |
| MACD fast=8, slow=41, signal=18 |
12.3% | -44.0% | 0.60 | 0.28 | 3.0x | 131 | 52% |
| Parabolic SAR step=0.02, maxStep=0.18 |
9.5% | -68.4% | 0.49 | 0.14 | 2.4x | 211 | 56% |
| ADX / DI 방향성 period=22, threshold=36 |
3.0% | -10.4% | 0.49 | 0.28 | 1.3x | 10 | 5% |
| Buy and hold | 20.8% | -63.4% | 0.70 | 0.33 | 6.0x | 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 (2.2× volatility)
- Sell — Sell when the close falls back to the 18-day middle average