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 10.4%, drawdown -65.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -55.2%, Sharpe 0.42, 57% 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 |
7.6% | -55.2% | 0.42 | 0.14 | 4.4x | 69 | 57% |
| ROC 모멘텀 Hold-like · Exposure 97% n=14, threshold=-0.12 |
6.8% | -49.1% | 0.37 | 0.14 | 3.8x | 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 |
3.9% | -43.0% | 0.29 | 0.09 | 2.1x | 25 | 42% |
| EMA 크로스오버 fast=57, slow=201 |
3.7% | -58.1% | 0.27 | 0.06 | 2.1x | 33 | 59% |
| ADX / DI 방향성 period=47, threshold=20 |
1.0% | -30.0% | 0.15 | 0.03 | 1.2x | 10 | 5% |
| MACD fast=13, slow=31, signal=15 |
0.3% | -56.4% | 0.13 | 0.01 | 1.1x | 277 | 50% |
| Supertrend period=20, mult=5 |
-0.9% | -75.4% | 0.08 | -0.01 | 0.8x | 59 | 60% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-1.5% | -56.8% | 0.05 | -0.03 | 0.7x | 291 | 55% |
| Buy and hold | 10.4% | -65.4% | 0.46 | 0.16 | 7.3x | 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