Trend-Following Backtester · Guide · backtest 한국어
equity · US
Home BancShares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Home BancShares, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -65.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -55.2%, Sharpe 0.41, 58% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=67, slow=100 |
7.3% | -55.2% | 0.41 | 0.13 | 4.1x | 69 | 58% |
| ROC 모멘텀 Hold-like · Exposure 97% n=14, threshold=-0.12 |
6.5% | -49.1% | 0.36 | 0.13 | 3.6x | 85 | 97% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=3.9 |
0.8% | -4.0% | 0.36 | 0.20 | 1.2x | 4 | 1% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
1.8% | -21.9% | 0.32 | 0.08 | 1.4x | 12 | 4% |
| Donchian 채널 돌파 entryN=116, exitN=69 |
3.6% | -43.0% | 0.27 | 0.08 | 2.0x | 25 | 42% |
| EMA 크로스오버 fast=57, slow=201 |
3.4% | -58.1% | 0.26 | 0.06 | 2.0x | 33 | 59% |
| ADX / DI 방향성 period=47, threshold=20 |
1.0% | -30.0% | 0.14 | 0.03 | 1.2x | 10 | 5% |
| MACD fast=13, slow=31, signal=15 |
0.3% | -56.4% | 0.12 | 0.00 | 1.1x | 278 | 50% |
| Supertrend period=20, mult=5 |
-1.2% | -75.4% | 0.07 | -0.02 | 0.8x | 59 | 60% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-1.7% | -56.8% | 0.04 | -0.03 | 0.7x | 292 | 55% |
| Buy and hold | 10.1% | -65.4% | 0.45 | 0.15 | 7.0x | 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 67-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 67-day average falls below the 100-day average