Trend-Following Backtester · Guide · backtest 한국어
equity · US
Houlihan Lokey, Inc. backtest
10 trend-following strategies were compared on the full daily history of Houlihan Lokey, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.6%, MDD -27.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.0%, drawdown -40.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -28.7%, Sharpe 0.81, 66% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 17.4%, MDD -32.4%, exposure 86%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 11.3%p (CAGR 16.6%, MDD -27.2%, exposure 72%).
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=56, slow=85 |
16.1% | -28.7% | 0.81 | 0.56 | 5.1x | 30 | 66% |
| EMA 크로스오버 fast=42, slow=92 |
16.6% | -27.2% | 0.80 | 0.61 | 5.4x | 14 | 72% |
| ROC 모멘텀 n=103, threshold=-0.12 |
17.4% | -32.4% | 0.78 | 0.54 | 5.8x | 28 | 86% |
| Donchian 채널 돌파 entryN=105, exitN=78 |
14.6% | -29.1% | 0.76 | 0.50 | 4.5x | 12 | 64% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
5.1% | -18.3% | 0.58 | 0.28 | 1.7x | 10 | 12% |
| Supertrend period=29, mult=3.9 |
9.3% | -34.2% | 0.57 | 0.27 | 2.6x | 46 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.9 |
8.4% | -29.4% | 0.56 | 0.29 | 2.4x | 50 | 49% |
| ADX / DI 방향성 period=28, threshold=13 |
5.3% | -31.1% | 0.38 | 0.17 | 1.8x | 94 | 50% |
| Parabolic SAR step=0.02, maxStep=0.28 |
0.6% | -34.5% | 0.13 | 0.02 | 1.1x | 248 | 54% |
| MACD fast=13, slow=29, signal=17 |
-3.8% | -46.4% | -0.11 | -0.08 | 0.7x | 161 | 49% |
| Buy and hold | 17.0% | -40.0% | 0.71 | 0.42 | 5.6x | 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 56-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 56-day average falls below the 85-day average