Trend-Following Backtester · Guide · backtest 한국어
equity · US
Huntington Bancshares Incorporated backtest
10 trend-following strategies were compared on the full daily history of Huntington Bancshares Incorporated. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -55.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -96.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -55.2%, Sharpe 0.32, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.0%, MDD -92.4%, exposure 89%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 41.4%p (CAGR 4.6%, MDD -55.2%, exposure 62%).
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=28, slow=212 |
4.6% | -55.2% | 0.32 | 0.08 | 7.9x | 73 | 62% |
| Donchian 채널 돌파 entryN=9, exitN=91 |
5.0% | -92.4% | 0.31 | 0.05 | 9.7x | 129 | 89% |
| ROC 모멘텀 n=45, threshold=-0.09 |
4.3% | -87.2% | 0.29 | 0.05 | 7.1x | 347 | 85% |
| EMA 크로스오버 fast=26, slow=177 |
3.2% | -55.7% | 0.26 | 0.06 | 4.4x | 89 | 62% |
| ADX / DI 방향성 period=35, threshold=32 |
1.0% | -21.8% | 0.20 | 0.05 | 1.6x | 28 | 7% |
| 볼린저 밴드 돌파 n=53, k=3.3 |
1.6% | -65.2% | 0.18 | 0.02 | 2.1x | 46 | 12% |
| Supertrend period=22, mult=2.9 |
1.4% | -77.6% | 0.18 | 0.02 | 1.9x | 300 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.5% | -86.9% | 0.07 | -0.02 | 0.5x | 380 | 56% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2.8 |
-1.1% | -73.2% | 0.01 | -0.01 | 0.6x | 156 | 19% |
| MACD fast=22, slow=25, signal=12 |
-4.9% | -97.8% | -0.03 | -0.05 | 0.1x | 698 | 51% |
| Buy and hold | 4.9% | -96.7% | 0.32 | 0.05 | 9.3x | 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 28-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 28-day average falls below the 212-day average