Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hudson Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hudson Technologies, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.6%, MDD -74.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.2%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -88.0%, Sharpe 0.46, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 3.6%, MDD -74.3%, exposure 8%).
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=36, slow=80 |
11.7% | -88.0% | 0.46 | 0.13 | 33.7x | 107 | 48% |
| Donchian 채널 돌파 entryN=39, exitN=56 |
5.2% | -96.5% | 0.38 | 0.05 | 5.0x | 70 | 53% |
| Supertrend period=10, mult=4.7 |
0.7% | -99.5% | 0.34 | 0.01 | 1.2x | 81 | 60% |
| EMA 크로스오버 fast=35, slow=44 |
3.6% | -96.0% | 0.34 | 0.04 | 3.1x | 123 | 46% |
| 볼린저 밴드 돌파 n=38, k=2.8 |
5.1% | -81.5% | 0.30 | 0.06 | 4.9x | 100 | 19% |
| ADX / DI 방향성 period=43, threshold=25 |
3.6% | -74.3% | 0.27 | 0.05 | 3.1x | 22 | 8% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=3.2 |
0.2% | -90.5% | 0.17 | 0.00 | 1.1x | 72 | 15% |
| MACD fast=19, slow=52, signal=22 |
-16.8% | -100.0% | 0.05 | -0.17 | 0.0x | 331 | 51% |
| ROC 모멘텀 n=58, threshold=-0.02 |
-15.0% | -100.0% | 0.05 | -0.15 | 0.0x | 572 | 50% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-16.4% | -99.9% | 0.02 | -0.16 | 0.0x | 598 | 47% |
| Buy and hold | 0.2% | -98.8% | 0.44 | 0.00 | 1.1x | 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 36-day average price crosses above the 80-day average
- Sell — Sell (to cash) when the 36-day average falls below the 80-day average