Trend-Following Backtester · Guide · backtest 한국어
equity · KR
하이브 backtest
10 trend-following strategies were compared on the full daily history of 하이브. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.9%, MDD -24.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.9%, drawdown -73.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.9%, MDD -24.2%, Sharpe 0.96, 41% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 30.8%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 24.9%, MDD -24.2%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=12 |
24.9% | -24.2% | 0.96 | 1.02 | 3.7x | 28 | 41% |
| 볼린저 밴드 돌파 n=27, k=1.6 |
16.7% | -28.9% | 0.75 | 0.58 | 2.5x | 38 | 34% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=20, mult=1.6 |
15.8% | -25.4% | 0.74 | 0.62 | 2.4x | 32 | 32% |
| SMA 크로스오버 fast=8, slow=27 |
19.0% | -42.8% | 0.73 | 0.44 | 2.8x | 52 | 48% |
| Supertrend period=13, mult=2.1 |
18.0% | -43.7% | 0.70 | 0.41 | 2.6x | 52 | 49% |
| EMA 크로스오버 fast=47, slow=97 |
15.7% | -36.7% | 0.64 | 0.43 | 2.4x | 6 | 51% |
| ROC 모멘텀 n=100, threshold=0.07 |
13.8% | -31.5% | 0.61 | 0.44 | 2.1x | 32 | 43% |
| MACD fast=18, slow=51, signal=10 |
11.7% | -50.8% | 0.51 | 0.23 | 1.9x | 75 | 49% |
| Parabolic SAR step=0.015, maxStep=0.32 |
6.2% | -68.4% | 0.35 | 0.09 | 1.4x | 88 | 51% |
| ADX / DI 방향성 period=28, threshold=15 |
4.6% | -47.1% | 0.31 | 0.10 | 1.3x | 38 | 39% |
| Buy and hold | -5.9% | -73.6% | 0.13 | -0.08 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 12 days