Trend-Following Backtester · Guide · backtest 한국어
equity · US
HBT Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of HBT Financial, Inc.. 1 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 13.7%, MDD -35.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.0%, drawdown -54.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -35.0%, Sharpe 0.60, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 13.7%, MDD -35.0%, exposure 80%).
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=12, exitN=33 |
13.7% | -35.0% | 0.60 | 0.39 | 2.4x | 19 | 80% |
| MACD fast=16, slow=20, signal=12 |
7.3% | -29.6% | 0.43 | 0.25 | 1.6x | 105 | 48% |
| SMA 크로스오버 fast=7, slow=157 |
7.2% | -29.3% | 0.42 | 0.25 | 1.6x | 29 | 60% |
| Supertrend period=9, mult=2.9 |
6.4% | -45.0% | 0.40 | 0.14 | 1.5x | 37 | 54% |
| EMA 크로스오버 fast=31, slow=149 |
5.7% | -32.0% | 0.35 | 0.18 | 1.5x | 17 | 63% |
| Parabolic SAR step=0.01, maxStep=0.16 |
5.2% | -27.8% | 0.34 | 0.19 | 1.4x | 91 | 56% |
| ROC 모멘텀 n=132, threshold=-0.03 |
4.4% | -42.0% | 0.30 | 0.10 | 1.3x | 61 | 71% |
| 볼린저 밴드 돌파 n=15, k=3 |
1.0% | -11.7% | 0.17 | 0.09 | 1.1x | 10 | 5% |
| ADX / DI 방향성 period=9, threshold=15 |
0.9% | -41.3% | 0.15 | 0.02 | 1.1x | 183 | 51% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=12, mult=4 |
1.0% | -24.2% | 0.14 | 0.04 | 1.1x | 9 | 14% |
| Buy and hold | 13.0% | -54.3% | 0.52 | 0.24 | 2.3x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 33 days