Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hubbell Inc backtest
10 trend-following strategies were compared on the full daily history of Hubbell Inc. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -62.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.7%, MDD -46.7%, Sharpe 0.25, 41% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.3%, MDD -62.0%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=27, slow=158 |
2.7% | -46.7% | 0.25 | 0.06 | 4.3x | 60 | 41% |
| SMA 크로스오버 fast=34, slow=201 |
2.7% | -43.3% | 0.25 | 0.06 | 4.2x | 51 | 41% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.13 |
9.3% | -62.0% | 0.19 | 0.15 | 121.4x | 3 | 100% |
| Supertrend period=29, mult=4.4 |
1.7% | -60.3% | 0.19 | 0.03 | 2.5x | 124 | 40% |
| Donchian 채널 돌파 entryN=40, exitN=47 |
6.4% | -41.6% | 0.16 | 0.15 | 28.9x | 88 | 80% |
| MACD fast=13, slow=29, signal=16 |
3.0% | -76.8% | 0.13 | 0.04 | 5.1x | 488 | 67% |
| ADX / DI 방향성 period=61, threshold=23 |
0.3% | -9.3% | 0.13 | 0.03 | 1.2x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=27, mult=3.1 |
1.8% | -76.1% | 0.12 | 0.02 | 2.6x | 138 | 41% |
| 볼린저 밴드 돌파 n=52, k=1.6 |
-0.0% | -56.9% | 0.06 | -0.00 | 1.0x | 184 | 26% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-2.6% | -78.7% | -0.10 | -0.03 | 0.2x | 466 | 34% |
| Buy and hold | 9.2% | -62.0% | 0.19 | 0.15 | 120.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 158-day EMA
- Sell — Sell when the 27-day EMA falls below the 158-day EMA