Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Hammond Power Solutions Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Hammond Power Solutions Inc. Class A. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 34.4%, MDD -42.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 29.5%, drawdown -73.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 34.4%, MDD -42.7%, Sharpe 1.03, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 34.4%, MDD -42.7%, exposure 65%).
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=45, slow=47 |
34.4% | -42.7% | 1.03 | 0.81 | 605.8x | 43 | 65% |
| SMA 크로스오버 fast=29, slow=106 |
30.2% | -56.7% | 0.95 | 0.53 | 302.5x | 39 | 65% |
| Donchian 채널 돌파 entryN=46, exitN=77 |
31.1% | -57.2% | 0.94 | 0.54 | 355.2x | 33 | 72% |
| Supertrend period=9, mult=4.7 |
26.2% | -63.1% | 0.86 | 0.42 | 154.0x | 86 | 58% |
| ROC 모멘텀 n=78, threshold=-0.04 |
26.1% | -64.2% | 0.84 | 0.41 | 152.2x | 153 | 69% |
| Parabolic SAR step=0.015, maxStep=0.22 |
17.7% | -71.8% | 0.68 | 0.25 | 34.3x | 298 | 53% |
| ADX / DI 방향성 period=22, threshold=15 |
16.2% | -65.3% | 0.64 | 0.25 | 26.1x | 254 | 46% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=13, mult=3 |
14.1% | -50.3% | 0.63 | 0.28 | 17.4x | 100 | 36% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
15.3% | -58.5% | 0.63 | 0.26 | 21.8x | 134 | 47% |
| MACD fast=22, slow=61, signal=17 |
15.2% | -64.8% | 0.62 | 0.23 | 21.4x | 204 | 52% |
| Buy and hold | 29.5% | -73.4% | 0.82 | 0.40 | 271.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 47-day EMA
- Sell — Sell when the 45-day EMA falls below the 47-day EMA