Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hingham Institution for Savings backtest
10 trend-following strategies were compared on the full daily history of Hingham Institution for Savings. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.1%, MDD -42.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -81.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.1%, MDD -42.9%, Sharpe 0.57, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 13.1%, MDD -42.9%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=251 |
13.1% | -42.9% | 0.57 | 0.31 | 102.4x | 21 | 67% |
| SMA 크로스오버 fast=46, slow=175 |
11.8% | -46.2% | 0.52 | 0.26 | 67.2x | 45 | 61% |
| Donchian 채널 돌파 entryN=95, exitN=73 |
10.6% | -54.3% | 0.50 | 0.20 | 44.7x | 49 | 58% |
| 볼린저 밴드 돌파 n=58, k=3 |
3.3% | -52.1% | 0.26 | 0.06 | 3.3x | 74 | 23% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.2% | -76.4% | 0.22 | 0.03 | 2.3x | 244 | 58% |
| ROC 모멘텀 n=145, threshold=-0.02 |
1.6% | -84.8% | 0.21 | 0.02 | 1.8x | 385 | 65% |
| Supertrend period=24, mult=4.9 |
0.4% | -81.1% | 0.17 | 0.00 | 1.2x | 159 | 62% |
| ADX / DI 방향성 period=20, threshold=31 |
0.9% | -27.7% | 0.14 | 0.03 | 1.4x | 66 | 9% |
| MACD fast=30, slow=47, signal=49 |
-0.4% | -76.6% | 0.13 | -0.01 | 0.9x | 260 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=28, mult=3.5 |
0.4% | -66.0% | 0.12 | 0.01 | 1.2x | 138 | 29% |
| Buy and hold | 10.9% | -81.7% | 0.45 | 0.13 | 49.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 251-day EMA
- Sell — Sell when the 48-day EMA falls below the 251-day EMA