Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hayward Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hayward Holdings, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -7.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -70.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -25.4%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 0.9%, MDD -7.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=63 |
8.9% | -25.4% | 0.48 | 0.35 | 1.6x | 21 | 48% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
4.6% | -20.9% | 0.40 | 0.22 | 1.3x | 8 | 7% |
| Parabolic SAR step=0.01, maxStep=0.24 |
3.2% | -48.1% | 0.25 | 0.07 | 1.2x | 71 | 45% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=24, mult=3.3 |
1.5% | -17.3% | 0.25 | 0.09 | 1.1x | 6 | 4% |
| ADX / DI 방향성 period=32, threshold=37 |
0.9% | -7.7% | 0.23 | 0.11 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=9, exitN=37 |
0.9% | -58.6% | 0.19 | 0.01 | 1.0x | 25 | 70% |
| Supertrend period=30, mult=2.6 |
0.8% | -41.2% | 0.16 | 0.02 | 1.0x | 46 | 45% |
| ROC 모멘텀 n=13, threshold=0.14 |
1.0% | -16.9% | 0.14 | 0.06 | 1.1x | 36 | 6% |
| EMA 크로스오버 fast=6, slow=23 |
-2.3% | -46.3% | 0.06 | -0.05 | 0.9x | 70 | 47% |
| MACD fast=14, slow=37, signal=28 |
-3.4% | -56.0% | 0.02 | -0.06 | 0.8x | 54 | 47% |
| Buy and hold | -2.2% | -70.5% | 0.15 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 63-day average
- Sell — Sell (to cash) when the 42-day average falls below the 63-day average