Trend-Following Backtester · Guide · backtest 한국어
equity · US
HNI Corporation backtest
10 trend-following strategies were compared on the full daily history of HNI Corporation. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -87.3%).
Sharpe leader (same as main): MACD — CAGR 4.8%, MDD -70.9%, Sharpe 0.31, 51% 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=28, slow=60, signal=25 |
4.8% | -70.9% | 0.31 | 0.07 | 8.9x | 335 | 51% |
| Donchian 채널 돌파 entryN=49, exitN=40 |
3.8% | -66.5% | 0.28 | 0.06 | 5.7x | 143 | 49% |
| EMA 크로스오버 fast=7, slow=65 |
3.6% | -61.3% | 0.27 | 0.06 | 5.2x | 299 | 56% |
| Parabolic SAR step=0.005, maxStep=0.1 |
3.4% | -73.9% | 0.26 | 0.05 | 4.8x | 359 | 54% |
| Supertrend period=22, mult=3.8 |
2.9% | -80.5% | 0.24 | 0.04 | 3.8x | 213 | 56% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
2.9% | -72.0% | 0.24 | 0.04 | 3.8x | 231 | 43% |
| ADX / DI 방향성 period=36, threshold=35 |
1.3% | -28.8% | 0.24 | 0.05 | 1.8x | 28 | 6% |
| SMA 크로스오버 fast=5, slow=27 |
2.1% | -76.3% | 0.21 | 0.03 | 2.6x | 559 | 55% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=1.7 |
0.9% | -83.3% | 0.15 | 0.01 | 1.5x | 261 | 42% |
| ROC 모멘텀 n=52, threshold=0.01 |
-2.5% | -88.2% | 0.02 | -0.03 | 0.3x | 675 | 52% |
| Buy and hold | 7.3% | -87.3% | 0.38 | 0.08 | 26.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (28/60) crosses above its 25-day signal line
- Sell — Sell when the MACD line crosses back below the signal line