Trend-Following Backtester · Guide · backtest 한국어
equity · US
Heico Corporation backtest
10 trend-following strategies were compared on the full daily history of Heico Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.9%, drawdown -73.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.2%, MDD -70.9%, Sharpe 0.58, 74% exposure.
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 n=183, threshold=-0.08 |
14.2% | -70.9% | 0.58 | 0.20 | 474.7x | 241 | 74% |
| SMA 크로스오버 fast=32, slow=287 |
12.5% | -71.0% | 0.55 | 0.18 | 236.8x | 55 | 66% |
| EMA 크로스오버 fast=49, slow=230 |
12.5% | -74.6% | 0.55 | 0.17 | 234.3x | 51 | 68% |
| Donchian 채널 돌파 entryN=39, exitN=45 |
10.8% | -72.8% | 0.50 | 0.15 | 118.6x | 135 | 62% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=15, mult=4 |
3.5% | -22.1% | 0.47 | 0.16 | 4.9x | 44 | 3% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
3.8% | -25.2% | 0.47 | 0.15 | 5.7x | 48 | 4% |
| Supertrend period=11, mult=4.5 |
8.5% | -72.6% | 0.42 | 0.12 | 43.4x | 247 | 61% |
| MACD fast=18, slow=48, signal=17 |
5.6% | -65.0% | 0.34 | 0.09 | 12.6x | 518 | 50% |
| Parabolic SAR step=0.035, maxStep=0.22 |
2.5% | -84.9% | 0.23 | 0.03 | 3.2x | 1254 | 52% |
| ADX / DI 방향성 period=29, threshold=28 |
1.8% | -44.5% | 0.22 | 0.04 | 2.3x | 60 | 10% |
| Buy and hold | 17.9% | -73.4% | 0.61 | 0.24 | 2137.9x | 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 183-day return is greater than -8%
- Sell — Sell when the 183-day return drops to -8% or below