Trend-Following Backtester · Guide · backtest 한국어
equity · US
Horizon Technology Finance Corporation backtest
10 trend-following strategies were compared on the full daily history of Horizon Technology Finance Corporation. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -3.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.9%, drawdown -79.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -13.8%, Sharpe 0.20, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 65.2%p (CAGR 0.3%, MDD -3.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=22 |
0.8% | -13.8% | 0.20 | 0.06 | 1.1x | 16 | 2% |
| 볼린저 밴드 돌파 n=33, k=3.4 |
0.3% | -3.9% | 0.15 | 0.07 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=12, mult=3 |
-0.4% | -17.6% | -0.04 | -0.02 | 0.9x | 18 | 4% |
| SMA 크로스오버 fast=46, slow=230 |
-5.1% | -70.7% | -0.14 | -0.07 | 0.4x | 22 | 40% |
| Donchian 채널 돌파 entryN=107, exitN=74 |
-3.1% | -42.4% | -0.19 | -0.07 | 0.6x | 16 | 26% |
| ROC 모멘텀 n=136, threshold=0.14 |
-2.0% | -39.8% | -0.21 | -0.05 | 0.7x | 74 | 11% |
| EMA 크로스오버 fast=51, slow=157 |
-5.6% | -64.1% | -0.24 | -0.09 | 0.4x | 30 | 39% |
| Supertrend period=21, mult=2.9 |
-7.4% | -74.8% | -0.29 | -0.10 | 0.3x | 112 | 57% |
| MACD fast=19, slow=35, signal=16 |
-8.3% | -78.1% | -0.37 | -0.11 | 0.3x | 196 | 51% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-13.7% | -90.2% | -0.64 | -0.15 | 0.1x | 495 | 54% |
| Buy and hold | -7.9% | -79.1% | -0.08 | -0.10 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)