Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hancock Whitney Corporation backtest
10 trend-following strategies were compared on the full daily history of Hancock Whitney Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.1%, MDD -46.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -73.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.5%, MDD -56.7%, Sharpe 0.41, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 16.7%p (CAGR 7.1%, MDD -46.6%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=206 |
7.5% | -56.7% | 0.41 | 0.13 | 12.6x | 33 | 61% |
| SMA 크로스오버 fast=43, slow=111 |
7.1% | -46.6% | 0.40 | 0.15 | 11.0x | 79 | 59% |
| Donchian 채널 돌파 entryN=19, exitN=74 |
6.1% | -72.2% | 0.35 | 0.09 | 8.1x | 87 | 82% |
| ADX / DI 방향성 period=30, threshold=37 |
1.3% | -11.4% | 0.30 | 0.12 | 1.6x | 10 | 3% |
| Supertrend period=12, mult=5 |
3.8% | -71.6% | 0.27 | 0.05 | 3.8x | 77 | 62% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=3.2 |
2.3% | -48.7% | 0.22 | 0.05 | 2.2x | 85 | 23% |
| ROC 모멘텀 n=75, threshold=-0.09 |
1.8% | -88.6% | 0.21 | 0.02 | 1.9x | 299 | 82% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
1.8% | -54.6% | 0.19 | 0.03 | 1.8x | 97 | 26% |
| Parabolic SAR step=0.005, maxStep=0.16 |
0.8% | -69.3% | 0.16 | 0.01 | 1.3x | 293 | 53% |
| MACD fast=17, slow=39, signal=31 |
-5.1% | -96.3% | -0.09 | -0.05 | 0.2x | 375 | 51% |
| Buy and hold | 8.5% | -73.4% | 0.41 | 0.12 | 17.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 206-day EMA
- Sell — Sell when the 57-day EMA falls below the 206-day EMA