Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hawkins, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hawkins, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -64.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.0%, MDD -87.7%, Sharpe 0.40, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.15 |
8.0% | -87.7% | 0.40 | 0.09 | 34.7x | 55 | 100% |
| EMA 크로스오버 fast=75, slow=162 |
4.1% | -76.8% | 0.31 | 0.05 | 6.6x | 62 | 67% |
| SMA 크로스오버 fast=48, slow=184 |
3.6% | -73.9% | 0.29 | 0.05 | 5.2x | 101 | 60% |
| Supertrend period=24, mult=4.6 |
0.1% | -92.2% | 0.20 | 0.00 | 1.0x | 122 | 58% |
| ADX / DI 방향성 period=28, threshold=28 |
1.3% | -60.0% | 0.16 | 0.02 | 1.8x | 44 | 20% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.5% | -97.5% | 0.10 | -0.04 | 0.2x | 326 | 50% |
| Donchian 채널 돌파 entryN=152, exitN=60 |
-3.2% | -92.7% | 0.07 | -0.03 | 0.2x | 78 | 37% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=21, mult=3.3 |
-1.3% | -87.1% | 0.07 | -0.02 | 0.5x | 90 | 19% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
-3.4% | -91.0% | -0.09 | -0.04 | 0.2x | 60 | 11% |
| MACD fast=19, slow=51, signal=19 |
-23.2% | -100.0% | -0.55 | -0.23 | 0.0x | 646 | 50% |
| Buy and hold | 11.3% | -64.6% | 0.46 | 0.18 | 145.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -15%
- Sell — Sell when the 3-day return drops to -15% or below