Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hims & Hers Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hims & Hers Health, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.5%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 17.1%, drawdown -87.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 41.7%, MDD -63.5%, Sharpe 0.86, 64% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.6%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 20.5%, MDD -33.0%, exposure 17%).
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=115, threshold=-0.11 |
41.7% | -63.5% | 0.86 | 0.66 | 11.3x | 17 | 64% |
| ADX / DI 방향성 period=37, threshold=11 |
38.2% | -65.8% | 0.83 | 0.58 | 9.5x | 50 | 59% |
| EMA 크로스오버 fast=4, slow=57 |
35.1% | -57.0% | 0.80 | 0.62 | 8.1x | 46 | 51% |
| MACD fast=16, slow=23, signal=16 |
34.7% | -75.6% | 0.80 | 0.46 | 7.9x | 83 | 52% |
| Supertrend period=24, mult=1.7 |
32.1% | -62.5% | 0.78 | 0.51 | 7.0x | 104 | 45% |
| Parabolic SAR step=0.02, maxStep=0.32 |
32.6% | -64.2% | 0.77 | 0.51 | 7.1x | 144 | 50% |
| SMA 크로스오버 fast=47, slow=128 |
30.2% | -65.7% | 0.73 | 0.46 | 6.3x | 15 | 53% |
| 볼린저 밴드 돌파 n=11, k=2.4 |
20.5% | -33.0% | 0.73 | 0.62 | 3.7x | 46 | 17% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=1.1 |
21.8% | -61.6% | 0.64 | 0.35 | 3.9x | 84 | 37% |
| Donchian 채널 돌파 entryN=56, exitN=77 |
17.8% | -67.9% | 0.58 | 0.26 | 3.1x | 13 | 60% |
| Buy and hold | 17.1% | -87.3% | 0.59 | 0.20 | 3.0x | 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 115-day return is greater than -11%
- Sell — Sell when the 115-day return drops to -11% or below