Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Honest Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Honest Company, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 31.7%, MDD -37.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.0%, drawdown -95.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 31.6%, MDD -41.6%, Sharpe 0.87, 28% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 33.4%, MDD -41.2%, exposure 36%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 50.7%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 31.7%, MDD -37.5%, exposure 30%).
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=13, slow=103 |
31.6% | -41.6% | 0.87 | 0.76 | 4.4x | 5 | 28% |
| 볼린저 밴드 돌파 n=53, k=1.2 |
31.7% | -37.5% | 0.85 | 0.85 | 4.4x | 15 | 30% |
| SMA 크로스오버 fast=16, slow=47 |
33.4% | -41.2% | 0.85 | 0.81 | 4.7x | 17 | 36% |
| ROC 모멘텀 n=121, threshold=0.06 |
27.7% | -55.0% | 0.78 | 0.50 | 3.8x | 19 | 31% |
| Donchian 채널 돌파 entryN=84, exitN=58 |
24.1% | -53.2% | 0.74 | 0.45 | 3.2x | 5 | 27% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=2 |
24.4% | -39.3% | 0.73 | 0.62 | 3.3x | 15 | 25% |
| ADX / DI 방향성 period=30, threshold=15 |
25.1% | -45.3% | 0.73 | 0.56 | 3.4x | 21 | 30% |
| Supertrend period=19, mult=3.4 |
21.8% | -61.2% | 0.65 | 0.36 | 2.9x | 19 | 34% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-13.9% | -93.4% | -0.03 | -0.15 | 0.4x | 104 | 44% |
| MACD fast=17, slow=53, signal=15 |
-13.2% | -86.0% | -0.04 | -0.15 | 0.5x | 64 | 51% |
| Buy and hold | -19.0% | -95.2% | 0.09 | -0.20 | 0.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 103-day EMA
- Sell — Sell when the 13-day EMA falls below the 103-day EMA