Trend-Following Backtester · Guide · backtest 한국어
equity · US
Huron Consulting Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Huron Consulting Group Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.1%, MDD -44.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -85.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.6%, MDD -50.8%, Sharpe 0.47, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 34.8%p (CAGR 9.1%, MDD -44.2%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=147, threshold=-0.03 |
9.6% | -50.8% | 0.47 | 0.19 | 7.5x | 146 | 64% |
| EMA 크로스오버 fast=36, slow=146 |
9.1% | -44.2% | 0.46 | 0.21 | 6.8x | 37 | 60% |
| SMA 크로스오버 fast=28, slow=215 |
7.6% | -54.5% | 0.41 | 0.14 | 4.9x | 33 | 58% |
| 볼린저 밴드 돌파 n=91, k=2.3 |
5.8% | -40.9% | 0.38 | 0.14 | 3.5x | 47 | 38% |
| Donchian 채널 돌파 entryN=74, exitN=72 |
4.5% | -52.3% | 0.30 | 0.09 | 2.6x | 37 | 57% |
| Supertrend period=21, mult=3.8 |
3.8% | -74.7% | 0.27 | 0.05 | 2.3x | 87 | 60% |
| ADX / DI 방향성 period=38, threshold=26 |
1.7% | -19.6% | 0.25 | 0.09 | 1.5x | 18 | 7% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=4 |
2.4% | -35.6% | 0.25 | 0.07 | 1.7x | 35 | 20% |
| MACD fast=16, slow=52, signal=13 |
-4.8% | -84.4% | -0.03 | -0.06 | 0.3x | 291 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.0% | -88.3% | -0.04 | -0.06 | 0.3x | 173 | 57% |
| Buy and hold | 10.2% | -85.6% | 0.47 | 0.12 | 8.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 147-day return is greater than -3%
- Sell — Sell when the 147-day return drops to -3% or below