Trend-Following Backtester · Guide · backtest 한국어
equity · US
HCI Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of HCI Group, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.0%, MDD -46.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 20.9%, drawdown -79.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.1%, MDD -54.9%, Sharpe 0.78, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 21.0%, MDD -46.9%, exposure 61%).
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=31, exitN=39 |
23.1% | -54.9% | 0.78 | 0.42 | 41.6x | 45 | 68% |
| SMA 크로스오버 fast=29, slow=93 |
21.4% | -51.1% | 0.75 | 0.42 | 32.5x | 47 | 58% |
| EMA 크로스오버 fast=28, slow=113 |
21.0% | -46.9% | 0.74 | 0.45 | 30.9x | 31 | 61% |
| Supertrend period=26, mult=4.6 |
19.7% | -52.3% | 0.70 | 0.38 | 25.1x | 51 | 60% |
| 볼린저 밴드 돌파 n=55, k=3.2 |
11.3% | -39.9% | 0.66 | 0.28 | 6.9x | 19 | 20% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=2.5 |
13.8% | -50.1% | 0.62 | 0.28 | 10.2x | 65 | 37% |
| ROC 모멘텀 n=93, threshold=0.01 |
14.3% | -53.7% | 0.58 | 0.27 | 11.1x | 159 | 58% |
| ADX / DI 방향성 period=14, threshold=22 |
9.3% | -46.9% | 0.48 | 0.20 | 4.9x | 173 | 33% |
| Parabolic SAR step=0.01, maxStep=0.16 |
2.2% | -66.5% | 0.23 | 0.03 | 1.5x | 229 | 54% |
| MACD fast=16, slow=57, signal=14 |
1.7% | -53.4% | 0.20 | 0.03 | 1.4x | 210 | 51% |
| Buy and hold | 20.9% | -79.3% | 0.65 | 0.26 | 30.3x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 39 days