Trend-Following Backtester · Guide · backtest 한국어
equity · US
Haemonetics Corporation backtest
10 trend-following strategies were compared on the full daily history of Haemonetics Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -68.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.5%, MDD -74.4%, Sharpe 0.36, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.11 |
6.5% | -74.4% | 0.36 | 0.09 | 9.2x | 81 | 99% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
2.9% | -45.8% | 0.28 | 0.06 | 2.7x | 77 | 19% |
| MACD fast=27, slow=73, signal=16 |
3.0% | -63.7% | 0.24 | 0.05 | 2.8x | 311 | 52% |
| SMA 크로스오버 fast=37, slow=90 |
1.0% | -69.5% | 0.16 | 0.01 | 1.4x | 121 | 57% |
| ADX / DI 방향성 period=22, threshold=38 |
0.7% | -15.7% | 0.16 | 0.04 | 1.3x | 18 | 3% |
| Supertrend period=17, mult=2 |
0.8% | -70.0% | 0.15 | 0.01 | 1.3x | 435 | 55% |
| Donchian 채널 돌파 entryN=16, exitN=47 |
-0.3% | -73.1% | 0.13 | -0.00 | 0.9x | 143 | 74% |
| EMA 크로스오버 fast=44, slow=205 |
-0.3% | -79.7% | 0.12 | -0.00 | 0.9x | 63 | 58% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.5% | -69.9% | 0.10 | -0.01 | 0.8x | 595 | 53% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=24, mult=3.8 |
0.3% | -43.0% | 0.08 | 0.01 | 1.1x | 79 | 14% |
| Buy and hold | 7.9% | -68.6% | 0.39 | 0.11 | 14.3x | 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 3-day return is greater than -11%
- Sell — Sell when the 3-day return drops to -11% or below