Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hillman Solutions Corp. backtest
10 trend-following strategies were compared on the full daily history of Hillman Solutions Corp.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -1.4%, MDD -13.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.2%, drawdown -50.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.7%, MDD -30.3%, Sharpe 0.19, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR -1.4%, MDD -13.4%, exposure 2%).
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=21, slow=57 |
1.7% | -30.3% | 0.19 | 0.06 | 1.1x | 25 | 45% |
| ADX / DI 방향성 period=31, threshold=22 |
0.9% | -22.1% | 0.15 | 0.04 | 1.1x | 4 | 10% |
| MACD fast=17, slow=54, signal=16 |
-0.9% | -40.9% | 0.11 | -0.02 | 1.0x | 58 | 47% |
| Donchian 채널 돌파 entryN=15, exitN=20 |
-2.7% | -42.4% | 0.06 | -0.06 | 0.9x | 30 | 57% |
| Supertrend period=14, mult=4.7 |
-2.0% | -38.2% | 0.05 | -0.05 | 0.9x | 17 | 50% |
| ROC 모멘텀 n=54, threshold=-0.04 |
-3.2% | -36.8% | 0.02 | -0.09 | 0.8x | 59 | 54% |
| EMA 크로스오버 fast=20, slow=51 |
-3.7% | -39.1% | -0.01 | -0.09 | 0.8x | 23 | 46% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-6.2% | -49.8% | -0.12 | -0.13 | 0.7x | 116 | 50% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
-1.6% | -16.8% | -0.30 | -0.10 | 0.9x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=3 |
-1.4% | -13.4% | -0.31 | -0.11 | 0.9x | 4 | 2% |
| Buy and hold | -4.2% | -50.9% | 0.07 | -0.08 | 0.8x | 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 21-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 21-day average falls below the 57-day average