Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Hoist Finance AB backtest
10 trend-following strategies were compared on the full daily history of Hoist Finance AB. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.5%, MDD -42.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.9%, drawdown -80.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -46.0%, Sharpe 0.55, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 12.5%, MDD -42.9%, exposure 59%).
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=48, slow=165 |
12.9% | -46.0% | 0.55 | 0.28 | 4.0x | 19 | 56% |
| Supertrend period=8, mult=4.6 |
12.5% | -42.9% | 0.53 | 0.29 | 3.8x | 39 | 59% |
| Donchian 채널 돌파 entryN=35, exitN=50 |
12.3% | -67.2% | 0.51 | 0.18 | 3.7x | 29 | 65% |
| ROC 모멘텀 n=136, threshold=-0.04 |
9.8% | -57.5% | 0.45 | 0.17 | 2.9x | 111 | 64% |
| MACD fast=15, slow=69, signal=18 |
7.8% | -56.5% | 0.40 | 0.14 | 2.3x | 113 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=8, mult=2 |
6.8% | -58.8% | 0.38 | 0.12 | 2.1x | 55 | 38% |
| ADX / DI 방향성 period=39, threshold=23 |
4.1% | -17.2% | 0.37 | 0.24 | 1.6x | 8 | 6% |
| EMA 크로스오버 fast=48, slow=103 |
6.8% | -74.5% | 0.36 | 0.09 | 2.1x | 31 | 56% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.6% | -70.3% | 0.24 | 0.04 | 1.3x | 95 | 52% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
0.9% | -76.0% | 0.16 | 0.01 | 1.1x | 79 | 44% |
| Buy and hold | 10.9% | -80.7% | 0.46 | 0.14 | 3.3x | 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 48-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 48-day average falls below the 165-day average