Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hexcel Corporation backtest
10 trend-following strategies were compared on the full daily history of Hexcel Corporation. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.0%, MDD -43.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.0%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -65.1%, Sharpe 0.42, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 4.0%, MDD -43.9%, exposure 12%).
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=42, slow=172 |
8.5% | -65.1% | 0.42 | 0.13 | 44.5x | 73 | 58% |
| Donchian 채널 돌파 entryN=25, exitN=68 |
7.9% | -77.0% | 0.39 | 0.10 | 34.1x | 113 | 77% |
| EMA 크로스오버 fast=72, slow=184 |
7.3% | -74.1% | 0.39 | 0.10 | 26.4x | 55 | 60% |
| Supertrend period=9, mult=5 |
6.9% | -67.7% | 0.37 | 0.10 | 21.7x | 163 | 56% |
| ROC 모멘텀 n=152, threshold=0.05 |
6.3% | -78.4% | 0.35 | 0.08 | 17.0x | 357 | 53% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
4.0% | -43.9% | 0.33 | 0.09 | 6.1x | 58 | 12% |
| Parabolic SAR step=0.005, maxStep=0.1 |
5.4% | -74.1% | 0.32 | 0.07 | 11.6x | 349 | 52% |
| ADX / DI 방향성 period=21, threshold=12 |
0.8% | -91.7% | 0.17 | 0.01 | 1.4x | 674 | 48% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=14, mult=2 |
0.3% | -85.3% | 0.13 | 0.00 | 1.1x | 321 | 36% |
| MACD fast=19, slow=27, signal=9 |
-3.3% | -92.1% | 0.08 | -0.04 | 0.2x | 732 | 51% |
| Buy and hold | 4.0% | -96.8% | 0.32 | 0.04 | 6.1x | 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 42-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 42-day average falls below the 172-day average