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%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.3%, 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 5.9%, MDD -45.5%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.0%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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=35 |
2.3% | -13.6% | 0.41 | 0.17 | 1.9x | 16 | 8% |
| SMA 크로스오버 fast=55, slow=85 |
5.9% | -45.5% | 0.39 | 0.13 | 5.1x | 95 | 56% |
| Donchian 채널 돌파 entryN=108, exitN=76 |
5.6% | -40.2% | 0.39 | 0.14 | 4.7x | 27 | 52% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
1.8% | -20.2% | 0.28 | 0.09 | 1.6x | 16 | 7% |
| EMA 크로스오버 fast=48, slow=111 |
3.3% | -60.1% | 0.27 | 0.06 | 2.5x | 49 | 57% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=3.9 |
1.3% | -41.6% | 0.19 | 0.03 | 1.4x | 34 | 11% |
| ROC 모멘텀 n=158, threshold=-0.08 |
1.1% | -63.5% | 0.16 | 0.02 | 1.3x | 187 | 74% |
| Supertrend period=8, mult=5 |
-1.0% | -59.2% | 0.04 | -0.02 | 0.8x | 69 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-10.1% | -95.4% | -0.40 | -0.11 | 0.0x | 246 | 54% |
| MACD fast=17, slow=22, signal=19 |
-11.9% | -98.1% | -0.48 | -0.12 | 0.0x | 432 | 52% |
| Buy and hold | 2.3% | -69.0% | 0.23 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)