Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hope Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hope Bancorp, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -45.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -90.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -45.4%, Sharpe 0.44, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 45.2%p (CAGR 8.2%, MDD -45.4%, exposure 54%).
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=33, slow=168 |
8.2% | -45.4% | 0.44 | 0.18 | 9.6x | 47 | 54% |
| Donchian 채널 돌파 entryN=29, exitN=27 |
8.0% | -65.7% | 0.41 | 0.12 | 9.0x | 109 | 50% |
| EMA 크로스오버 fast=43, slow=171 |
6.5% | -57.4% | 0.38 | 0.11 | 6.0x | 41 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.4% | -65.2% | 0.36 | 0.10 | 5.8x | 239 | 52% |
| 볼린저 밴드 돌파 n=51, k=2 |
5.0% | -61.1% | 0.32 | 0.08 | 4.0x | 115 | 33% |
| Supertrend period=8, mult=4.1 |
3.8% | -71.2% | 0.27 | 0.05 | 2.9x | 117 | 51% |
| ADX / DI 방향성 period=32, threshold=37 |
1.1% | -16.1% | 0.25 | 0.07 | 1.4x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=4 |
2.7% | -40.9% | 0.25 | 0.07 | 2.1x | 57 | 19% |
| ROC 모멘텀 n=128, threshold=0.08 |
3.0% | -53.7% | 0.24 | 0.06 | 2.3x | 241 | 40% |
| MACD fast=19, slow=56, signal=17 |
-1.1% | -77.0% | 0.11 | -0.01 | 0.7x | 335 | 50% |
| Buy and hold | 6.7% | -90.6% | 0.37 | 0.07 | 6.3x | 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 33-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 33-day average falls below the 168-day average