Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hub Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hub Group, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.5%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -48.9%, Sharpe 0.42, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 40.3%p (CAGR 8.5%, MDD -48.9%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=60 |
8.5% | -48.9% | 0.42 | 0.17 | 11.9x | 59 | 63% |
| SMA 크로스오버 fast=56, slow=202 |
8.1% | -61.5% | 0.41 | 0.13 | 10.7x | 41 | 61% |
| ROC 모멘텀 n=121, threshold=-0.1 |
6.6% | -73.6% | 0.36 | 0.09 | 7.0x | 182 | 74% |
| EMA 크로스오버 fast=19, slow=191 |
5.9% | -77.4% | 0.34 | 0.08 | 5.7x | 63 | 59% |
| Supertrend period=23, mult=5 |
5.9% | -75.8% | 0.34 | 0.08 | 5.7x | 89 | 60% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=2.8 |
4.8% | -66.5% | 0.33 | 0.07 | 4.1x | 105 | 34% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
2.5% | -71.4% | 0.22 | 0.03 | 2.1x | 93 | 28% |
| ADX / DI 방향성 period=35, threshold=15 |
1.0% | -67.2% | 0.15 | 0.02 | 1.4x | 158 | 28% |
| MACD fast=19, slow=46, signal=24 |
-0.5% | -82.8% | 0.13 | -0.01 | 0.9x | 299 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.4% | -92.0% | 0.00 | -0.05 | 0.3x | 256 | 56% |
| Buy and hold | 11.0% | -89.1% | 0.46 | 0.12 | 23.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 60 days