Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hub Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hub Group, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -52.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -52.0%, Sharpe 0.40, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 37.2%p (CAGR 7.9%, MDD -52.0%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=60 |
7.9% | -52.0% | 0.40 | 0.15 | 10.2x | 59 | 63% |
| SMA 크로스오버 fast=56, slow=202 |
7.6% | -61.5% | 0.39 | 0.12 | 9.2x | 41 | 61% |
| ROC 모멘텀 n=121, threshold=-0.1 |
6.1% | -73.6% | 0.34 | 0.08 | 6.0x | 183 | 74% |
| EMA 크로스오버 fast=19, slow=191 |
5.3% | -77.4% | 0.32 | 0.07 | 4.8x | 64 | 59% |
| Supertrend period=23, mult=5 |
5.1% | -75.8% | 0.32 | 0.07 | 4.6x | 90 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=2.8 |
4.1% | -72.1% | 0.29 | 0.06 | 3.4x | 106 | 34% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
1.8% | -76.1% | 0.19 | 0.02 | 1.7x | 94 | 28% |
| ADX / DI 방향성 period=35, threshold=15 |
1.0% | -67.2% | 0.15 | 0.02 | 1.4x | 158 | 28% |
| MACD fast=19, slow=46, signal=24 |
-0.5% | -82.8% | 0.13 | -0.01 | 0.9x | 300 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.3% | -92.0% | 0.00 | -0.05 | 0.3x | 256 | 55% |
| Buy and hold | 10.4% | -89.1% | 0.44 | 0.12 | 20.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 60 days