Trend-Following Backtester · Guide · backtest 한국어
equity · US
Booz Allen Hamilton Holding Corporation backtest
10 trend-following strategies were compared on the full daily history of Booz Allen Hamilton Holding Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.1%, MDD -51.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -67.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -51.3%, Sharpe 0.52, 80% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 10.1%, MDD -51.3%, exposure 80%).
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 n=255, threshold=-0.13 |
10.1% | -51.3% | 0.52 | 0.20 | 4.5x | 26 | 80% |
| SMA 크로스오버 fast=58, slow=176 |
6.8% | -36.0% | 0.42 | 0.19 | 2.8x | 24 | 62% |
| EMA 크로스오버 fast=48, slow=196 |
6.8% | -44.2% | 0.40 | 0.15 | 2.8x | 18 | 70% |
| MACD fast=12, slow=39, signal=12 |
5.0% | -37.9% | 0.34 | 0.13 | 2.1x | 219 | 51% |
| Donchian 채널 돌파 entryN=80, exitN=77 |
2.3% | -53.6% | 0.22 | 0.04 | 1.4x | 22 | 60% |
| Supertrend period=8, mult=2.1 |
0.9% | -45.9% | 0.15 | 0.02 | 1.2x | 175 | 54% |
| ADX / DI 방향성 period=32, threshold=24 |
0.6% | -22.3% | 0.12 | 0.03 | 1.1x | 16 | 9% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-0.1% | -50.2% | 0.10 | -0.00 | 1.0x | 205 | 52% |
| 볼린저 밴드 돌파 n=19, k=1.5 |
-1.4% | -47.8% | 0.01 | -0.03 | 0.8x | 205 | 42% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=3.5 |
-2.7% | -42.5% | -0.10 | -0.06 | 0.6x | 40 | 22% |
| Buy and hold | 8.4% | -67.9% | 0.42 | 0.12 | 3.6x | 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 255-day return is greater than -13%
- Sell — Sell when the 255-day return drops to -13% or below