Trend-Following Backtester · Guide · backtest 한국어
equity · US
HA Sustainable Infrastructure Capital, Inc. backtest
10 trend-following strategies were compared on the full daily history of HA Sustainable Infrastructure Capital, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.6%, MDD -58.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -79.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -43.5%, Sharpe 0.48, 38% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.0%, MDD -63.7%, exposure 59%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 36.1%p (CAGR 7.6%, MDD -58.0%, exposure 61%).
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=110, exitN=37 |
7.3% | -43.5% | 0.48 | 0.17 | 2.6x | 24 | 38% |
| SMA 크로스오버 fast=61, slow=101 |
9.0% | -63.7% | 0.46 | 0.14 | 3.2x | 30 | 59% |
| 볼린저 밴드 돌파 n=75, k=2.8 |
5.5% | -37.8% | 0.45 | 0.14 | 2.0x | 16 | 21% |
| Supertrend period=29, mult=4.3 |
7.7% | -60.4% | 0.43 | 0.13 | 2.7x | 45 | 57% |
| EMA 크로스오버 fast=50, slow=77 |
7.6% | -58.0% | 0.41 | 0.13 | 2.6x | 23 | 61% |
| ROC 모멘텀 n=114, threshold=0.07 |
3.9% | -44.1% | 0.29 | 0.09 | 1.7x | 117 | 46% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=3.8 |
2.7% | -55.5% | 0.25 | 0.05 | 1.4x | 30 | 25% |
| MACD fast=8, slow=28, signal=19 |
1.7% | -63.2% | 0.20 | 0.03 | 1.3x | 212 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
0.9% | -58.8% | 0.17 | 0.01 | 1.1x | 238 | 53% |
| ADX / DI 방향성 period=21, threshold=23 |
1.1% | -40.6% | 0.15 | 0.03 | 1.2x | 58 | 19% |
| Buy and hold | 9.7% | -79.5% | 0.43 | 0.12 | 3.5x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 37 days