Trend-Following Backtester · Guide · backtest 한국어
equity · US
Heartland Express, Inc. backtest
10 trend-following strategies were compared on the full daily history of Heartland Express, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -74.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -73.9%, Sharpe 0.34, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=191 |
5.8% | -73.9% | 0.34 | 0.08 | 9.3x | 63 | 57% |
| Donchian 채널 돌파 entryN=9, exitN=105 |
4.7% | -77.0% | 0.30 | 0.06 | 6.2x | 105 | 90% |
| EMA 크로스오버 fast=51, slow=152 |
1.9% | -90.6% | 0.20 | 0.02 | 2.1x | 81 | 57% |
| Supertrend period=33, mult=4.7 |
0.8% | -89.8% | 0.16 | 0.01 | 1.4x | 118 | 56% |
| ADX / DI 방향성 period=28, threshold=22 |
0.9% | -34.8% | 0.13 | 0.03 | 1.4x | 82 | 12% |
| ROC 모멘텀 n=148, threshold=0 |
-1.7% | -96.9% | 0.07 | -0.02 | 0.5x | 417 | 57% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.1% | -37.0% | 0.07 | 0.00 | 1.0x | 40 | 10% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.8% | -97.8% | 0.02 | -0.03 | 0.3x | 322 | 49% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=14, mult=3.7 |
-1.7% | -81.0% | -0.01 | -0.02 | 0.5x | 88 | 22% |
| MACD fast=21, slow=31, signal=28 |
-6.2% | -98.6% | -0.11 | -0.06 | 0.1x | 420 | 49% |
| Buy and hold | 8.8% | -74.4% | 0.41 | 0.12 | 28.3x | 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 57-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 57-day average falls below the 191-day average