Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HLB backtest
10 trend-following strategies were compared on the full daily history of HLB. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.1%, MDD -67.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.7%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.6%, MDD -73.2%, Sharpe 0.69, 27% exposure.
CAGR reference leader: Supertrend — CAGR 24.7%, MDD -89.5%, exposure 45%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 35.3%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 22.1%, MDD -67.6%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=1.8 |
24.6% | -73.2% | 0.69 | 0.34 | 344.2x | 390 | 27% |
| ROC 모멘텀 n=10, threshold=0.14 |
22.1% | -67.6% | 0.68 | 0.33 | 201.8x | 440 | 17% |
| Supertrend period=10, mult=3.1 |
24.7% | -89.5% | 0.67 | 0.28 | 353.1x | 159 | 45% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=1.2 |
22.4% | -81.9% | 0.66 | 0.27 | 214.2x | 282 | 24% |
| Parabolic SAR step=0.02, maxStep=0.14 |
17.9% | -89.8% | 0.57 | 0.20 | 79.1x | 496 | 44% |
| ADX / DI 방향성 period=8, threshold=27 |
15.5% | -89.3% | 0.53 | 0.17 | 45.7x | 408 | 34% |
| MACD fast=5, slow=28, signal=9 |
10.5% | -94.7% | 0.46 | 0.11 | 14.1x | 662 | 51% |
| SMA 크로스오버 fast=13, slow=45 |
5.5% | -94.5% | 0.37 | 0.06 | 4.1x | 157 | 42% |
| Donchian 채널 돌파 entryN=119, exitN=51 |
5.7% | -86.6% | 0.34 | 0.07 | 4.4x | 32 | 23% |
| EMA 크로스오버 fast=70, slow=208 |
1.2% | -94.1% | 0.26 | 0.01 | 1.4x | 28 | 35% |
| Buy and hold | -10.7% | -100.0% | 0.29 | -0.11 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 11-day middle average