Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hawaiian Electric Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hawaiian Electric Industries, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 1.5%, MDD -40.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.1%, drawdown -85.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -40.2%, Sharpe 0.18, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 1.5%, MDD -40.2%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=75, slow=162 |
1.5% | -40.2% | 0.18 | 0.04 | 2.3x | 88 | 58% |
| Donchian 채널 돌파 entryN=14, exitN=72 |
1.4% | -81.1% | 0.17 | 0.02 | 2.1x | 152 | 84% |
| ROC 모멘텀 n=4, threshold=0.14 |
0.8% | -20.4% | 0.15 | 0.04 | 1.5x | 24 | 0% |
| EMA 크로스오버 fast=48, slow=177 |
0.5% | -63.0% | 0.11 | 0.01 | 1.3x | 84 | 60% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
0.2% | -10.1% | 0.10 | 0.02 | 1.1x | 10 | 1% |
| Supertrend period=23, mult=3.4 |
-0.7% | -74.0% | 0.03 | -0.01 | 0.7x | 320 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=3.5 |
-0.3% | -48.0% | 0.03 | -0.01 | 0.9x | 148 | 22% |
| MACD fast=19, slow=59, signal=19 |
-2.0% | -82.1% | -0.04 | -0.02 | 0.3x | 533 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.2% | -82.4% | -0.06 | -0.03 | 0.3x | 439 | 53% |
| ADX / DI 방향성 period=37, threshold=35 |
-0.1% | -17.2% | -0.06 | -0.01 | 0.9x | 8 | 1% |
| Buy and hold | 1.1% | -85.5% | 0.17 | 0.01 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 75-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 75-day average falls below the 162-day average