Trend-Following Backtester · Guide · backtest 한국어
equity · US
H2O America backtest
10 trend-following strategies were compared on the full daily history of H2O America. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -56.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -47.0%, Sharpe 0.37, 64% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=138, slow=415 |
5.8% | -47.0% | 0.37 | 0.12 | 20.7x | 33 | 64% |
| ADX / DI 방향성 period=50, threshold=25 |
1.5% | -20.1% | 0.32 | 0.07 | 2.2x | 10 | 4% |
| EMA 크로스오버 fast=124, slow=159 |
3.5% | -61.2% | 0.27 | 0.06 | 6.6x | 61 | 63% |
| ROC 모멘텀 Hold-like · Exposure 99% n=23, threshold=-0.15 |
3.5% | -74.0% | 0.26 | 0.05 | 6.6x | 87 | 99% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=4 |
1.2% | -30.6% | 0.22 | 0.04 | 1.9x | 132 | 9% |
| Donchian 채널 돌파 entryN=156, exitN=54 |
1.8% | -54.6% | 0.20 | 0.03 | 2.6x | 91 | 37% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
0.7% | -27.1% | 0.13 | 0.02 | 1.4x | 100 | 8% |
| Supertrend period=29, mult=4.4 |
-2.2% | -92.3% | -0.03 | -0.02 | 0.3x | 375 | 52% |
| MACD fast=14, slow=51, signal=19 |
-4.2% | -95.5% | -0.15 | -0.04 | 0.1x | 657 | 49% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-4.5% | -97.8% | -0.16 | -0.05 | 0.1x | 664 | 52% |
| Buy and hold | 7.2% | -56.5% | 0.40 | 0.13 | 43.1x | 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 138-day average price crosses above the 415-day average
- Sell — Sell (to cash) when the 138-day average falls below the 415-day average