Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hirogin Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hirogin Holdings, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.5%, MDD -18.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.7%, drawdown -31.4%).
Sharpe leader (same as main): Supertrend — CAGR 20.5%, MDD -18.7%, Sharpe 1.07, 63% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.4%, MDD -36.6%, exposure 67%.
Return/drawdown alternative: Supertrend — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 12.6%p (CAGR 20.5%, MDD -18.7%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=3.9 |
20.5% | -18.7% | 1.07 | 1.09 | 3.0x | 21 | 63% |
| SMA 크로스오버 fast=49, slow=169 |
23.4% | -36.6% | 0.99 | 0.64 | 3.5x | 7 | 67% |
| EMA 크로스오버 fast=49, slow=193 |
23.2% | -31.4% | 0.96 | 0.74 | 3.4x | 3 | 73% |
| ROC 모멘텀 n=141, threshold=-0.08 |
22.7% | -31.4% | 0.94 | 0.72 | 3.4x | 23 | 85% |
| Donchian 채널 돌파 entryN=24, exitN=43 |
19.4% | -22.4% | 0.93 | 0.87 | 2.9x | 13 | 78% |
| 볼린저 밴드 돌파 n=57, k=1.8 |
10.4% | -22.2% | 0.67 | 0.47 | 1.8x | 29 | 48% |
| ADX / DI 방향성 period=38, threshold=11 |
11.1% | -27.2% | 0.66 | 0.41 | 1.9x | 35 | 49% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=21, mult=2.1 |
9.2% | -22.5% | 0.60 | 0.41 | 1.7x | 29 | 48% |
| MACD fast=31, slow=58, signal=28 |
8.6% | -28.1% | 0.55 | 0.31 | 1.6x | 39 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.7% | -20.9% | 0.54 | 0.42 | 1.6x | 47 | 64% |
| Buy and hold | 24.7% | -31.4% | 0.95 | 0.79 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)