Trend-Following Backtester · Guide · backtest 한국어
equity · US
Helen of Troy Limited backtest
10 trend-following strategies were compared on the full daily history of Helen of Troy Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.5%, MDD -64.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.3%, drawdown -94.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -64.1%, Sharpe 0.50, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 12.5%, MDD -64.1%, exposure 57%).
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=38, slow=248 |
12.5% | -64.1% | 0.50 | 0.20 | 369.4x | 73 | 57% |
| EMA 크로스오버 fast=59, slow=143 |
11.2% | -66.0% | 0.47 | 0.17 | 203.1x | 71 | 57% |
| Donchian 채널 돌파 entryN=30, exitN=64 |
10.5% | -87.9% | 0.45 | 0.12 | 147.4x | 125 | 65% |
| ADX / DI 방향성 period=31, threshold=13 |
10.6% | -84.0% | 0.45 | 0.13 | 157.2x | 334 | 53% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
9.2% | -68.0% | 0.43 | 0.13 | 80.9x | 318 | 44% |
| Supertrend period=28, mult=4.2 |
8.7% | -80.6% | 0.41 | 0.11 | 66.3x | 185 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=21, mult=1.8 |
8.2% | -64.9% | 0.41 | 0.13 | 52.1x | 238 | 39% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.3% | -72.4% | 0.37 | 0.10 | 33.5x | 370 | 54% |
| ROC 모멘텀 n=35, threshold=-0.04 |
6.3% | -87.6% | 0.35 | 0.07 | 21.3x | 681 | 66% |
| MACD fast=16, slow=45, signal=18 |
1.9% | -84.6% | 0.22 | 0.02 | 2.6x | 564 | 52% |
| Buy and hold | 9.3% | -94.7% | 0.42 | 0.10 | 85.1x | 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 38-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 38-day average falls below the 248-day average