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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.7%, MDD -20.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.6%, drawdown -95.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.7%, MDD -20.5%, Sharpe 0.87, 7% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 22.7%, MDD -38.6%, exposure 27%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 45.4%p higher than buy and hold, while drawdown improves by 74.7%p (CAGR 20.7%, MDD -20.5%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=20, mult=2.1 |
20.7% | -20.5% | 0.87 | 1.01 | 2.7x | 14 | 7% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
22.7% | -38.6% | 0.72 | 0.59 | 2.9x | 19 | 27% |
| Donchian 채널 돌파 entryN=92, exitN=5 |
14.2% | -24.7% | 0.68 | 0.58 | 2.0x | 14 | 7% |
| EMA 크로스오버 fast=33, slow=78 |
20.0% | -43.1% | 0.68 | 0.47 | 2.6x | 7 | 27% |
| SMA 크로스오버 fast=8, slow=132 |
19.9% | -54.6% | 0.66 | 0.37 | 2.6x | 9 | 28% |
| ROC 모멘텀 n=121, threshold=0.08 |
19.4% | -52.7% | 0.65 | 0.37 | 2.5x | 19 | 29% |
| ADX / DI 방향성 period=26, threshold=14 |
16.8% | -51.3% | 0.58 | 0.33 | 2.3x | 29 | 29% |
| Supertrend period=7, mult=3.3 |
15.0% | -63.8% | 0.53 | 0.23 | 2.1x | 21 | 40% |
| MACD fast=17, slow=54, signal=15 |
-13.6% | -85.7% | -0.04 | -0.16 | 0.5x | 60 | 51% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-19.4% | -93.4% | -0.19 | -0.21 | 0.3x | 102 | 44% |
| Buy and hold | -24.6% | -95.2% | -0.01 | -0.26 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 9-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average