Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bank of Hawaii Corporation backtest
10 trend-following strategies were compared on the full daily history of Bank of Hawaii Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.0%, MDD -47.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -65.1%).
Sharpe leader (same as main): Supertrend — CAGR 7.0%, MDD -47.3%, Sharpe 0.46, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 17.8%p (CAGR 7.0%, MDD -47.3%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.5 |
7.0% | -47.3% | 0.46 | 0.15 | 22.6x | 165 | 57% |
| ADX / DI 방향성 period=35, threshold=30 |
2.0% | -16.2% | 0.41 | 0.12 | 2.5x | 38 | 8% |
| Donchian 채널 돌파 entryN=23, exitN=31 |
4.5% | -72.2% | 0.32 | 0.06 | 7.6x | 201 | 61% |
| 볼린저 밴드 돌파 n=48, k=1.2 |
3.8% | -70.9% | 0.31 | 0.05 | 5.6x | 308 | 46% |
| EMA 크로스오버 fast=38, slow=161 |
3.4% | -57.6% | 0.27 | 0.06 | 4.7x | 79 | 68% |
| MACD fast=30, slow=91, signal=30 |
3.2% | -73.1% | 0.26 | 0.04 | 4.4x | 297 | 51% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=19, mult=3 |
2.5% | -46.4% | 0.26 | 0.05 | 3.1x | 166 | 25% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.8% | -72.7% | 0.24 | 0.04 | 3.5x | 391 | 56% |
| SMA 크로스오버 fast=35, slow=204 |
2.4% | -65.5% | 0.22 | 0.04 | 3.0x | 85 | 64% |
| ROC 모멘텀 n=129, threshold=-0.04 |
1.7% | -74.3% | 0.18 | 0.02 | 2.2x | 363 | 73% |
| Buy and hold | 8.4% | -65.1% | 0.43 | 0.13 | 42.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)