Trend-Following Backtester · Guide · backtest 한국어
equity · US
HomeTrust Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of HomeTrust Bancshares, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.0%, MDD -32.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -58.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -32.4%, Sharpe 0.51, 55% exposure.
CAGR reference leader: Supertrend — CAGR 8.0%, MDD -32.3%, exposure 70%.
Return/drawdown alternative: Supertrend — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 8.0%, MDD -32.3%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=85, exitN=43 |
7.8% | -32.4% | 0.51 | 0.24 | 2.9x | 21 | 55% |
| Supertrend period=24, mult=5 |
8.0% | -32.3% | 0.49 | 0.25 | 3.0x | 25 | 70% |
| SMA 크로스오버 fast=8, slow=150 |
7.4% | -30.0% | 0.46 | 0.25 | 2.7x | 45 | 62% |
| EMA 크로스오버 fast=49, slow=194 |
7.2% | -40.5% | 0.46 | 0.18 | 2.7x | 13 | 66% |
| ROC 모멘텀 n=128, threshold=-0.01 |
7.4% | -38.0% | 0.46 | 0.19 | 2.7x | 93 | 65% |
| 볼린저 밴드 돌파 n=37, k=3.3 |
3.8% | -21.3% | 0.45 | 0.18 | 1.7x | 16 | 12% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=2.9 |
5.3% | -28.4% | 0.44 | 0.19 | 2.1x | 36 | 24% |
| Parabolic SAR step=0.015, maxStep=0.06 |
1.2% | -38.4% | 0.16 | 0.03 | 1.2x | 208 | 55% |
| MACD fast=15, slow=67, signal=24 |
0.7% | -45.4% | 0.13 | 0.01 | 1.1x | 148 | 47% |
| ADX / DI 방향성 period=24, threshold=21 |
-0.0% | -29.5% | 0.06 | -0.00 | 1.0x | 60 | 17% |
| Buy and hold | 10.2% | -58.3% | 0.49 | 0.18 | 3.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 85 days
- Sell — Sell when price breaks below the lowest low of the last 43 days