Trend-Following Backtester · Guide · backtest 한국어

equity · US

Heritage Financial Corporation backtest

10 trend-following strategies were compared on the full daily history of Heritage Financial Corporation. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -13.6%).

Data 1998-05-07 ~ 2026-07-31daily bars 7,102 (28.2 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 2.4%, drawdown -69.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -13.6%, Sharpe 0.41, 8% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.1%, MDD -45.5%, exposure 56%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 55.4%p (CAGR 2.3%, MDD -13.6%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=24, threshold=35
2.3%-13.6%0.410.171.9x168%
SMA 크로스오버
fast=55, slow=85
6.1%-45.5%0.400.135.3x9556%
Donchian 채널 돌파
entryN=108, exitN=76
5.8%-40.2%0.400.144.9x2752%
볼린저 밴드 돌파
n=47, k=3.5
1.8%-20.2%0.290.091.6x167%
EMA 크로스오버
fast=48, slow=111
3.5%-60.1%0.270.062.6x4957%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=21, mult=3.9
1.3%-41.6%0.190.031.4x3412%
ROC 모멘텀
n=158, threshold=-0.08
1.2%-63.5%0.160.021.4x18773%
Supertrend
period=8, mult=5
-0.9%-59.2%0.05-0.010.8x6952%
Parabolic SAR
step=0.005, maxStep=0.1
-10.1%-95.4%-0.40-0.110.0x24554%
MACD
fast=17, slow=22, signal=19
-11.9%-98.1%-0.48-0.120.0x43252%
Buy and hold2.4%-69.0%0.230.042.0x1100%
1x 1999 2003 2007 2011 2015 2019 2023 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -17% -34% -52% -69% 1999 2003 2007 2011 2015 2019 2023 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -13.6% (2003-04-03 → 2004-08-31), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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