Trend-Following Backtester · Guide · backtest 한국어
equity · US
Harmonic Inc. backtest
10 trend-following strategies were compared on the full daily history of Harmonic Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -70.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.5%, drawdown -99.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -70.8%, Sharpe 0.41, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 8.5%, MDD -70.8%, exposure 53%).
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=23, slow=86 |
8.5% | -70.8% | 0.41 | 0.12 | 12.8x | 107 | 53% |
| Donchian 채널 돌파 entryN=44, exitN=51 |
6.1% | -83.1% | 0.36 | 0.07 | 6.3x | 80 | 56% |
| EMA 크로스오버 fast=25, slow=42 |
5.2% | -81.8% | 0.34 | 0.06 | 4.9x | 142 | 54% |
| MACD fast=23, slow=42, signal=19 |
2.5% | -91.5% | 0.30 | 0.03 | 2.2x | 306 | 51% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
4.1% | -73.4% | 0.28 | 0.06 | 3.5x | 36 | 12% |
| ADX / DI 방향성 period=35, threshold=18 |
4.1% | -73.5% | 0.28 | 0.06 | 3.5x | 92 | 17% |
| Supertrend period=16, mult=4.9 |
1.3% | -90.4% | 0.25 | 0.01 | 1.5x | 96 | 52% |
| ROC 모멘텀 n=52, threshold=-0.11 |
-2.5% | -96.7% | 0.21 | -0.03 | 0.4x | 376 | 71% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-4.4% | -98.6% | 0.15 | -0.04 | 0.2x | 801 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=1.8 |
-2.0% | -91.2% | 0.13 | -0.02 | 0.5x | 200 | 35% |
| Buy and hold | 1.5% | -99.3% | 0.37 | 0.02 | 1.6x | 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 23-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 23-day average falls below the 86-day average