Trend-Following Backtester · Guide · backtest 한국어
equity · US
Howard Hughes Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Howard Hughes Holdings Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.0%, MDD -26.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.6%, drawdown -76.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -37.0%, Sharpe 0.51, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 4.0%, MDD -26.3%, exposure 18%).
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=17, exitN=26 |
8.9% | -37.0% | 0.51 | 0.24 | 3.8x | 70 | 61% |
| ADX / DI 방향성 period=38, threshold=28 |
2.7% | -17.6% | 0.48 | 0.15 | 1.5x | 4 | 3% |
| SMA 크로스오버 fast=18, slow=67 |
7.0% | -53.1% | 0.44 | 0.13 | 2.9x | 61 | 55% |
| ROC 모멘텀 n=60, threshold=0.07 |
5.3% | -43.5% | 0.41 | 0.12 | 2.3x | 188 | 35% |
| 볼린저 밴드 돌파 n=19, k=2.5 |
4.0% | -26.3% | 0.40 | 0.15 | 1.9x | 64 | 18% |
| MACD fast=19, slow=58, signal=19 |
6.1% | -42.2% | 0.39 | 0.14 | 2.5x | 126 | 51% |
| Supertrend period=18, mult=4.2 |
5.8% | -51.0% | 0.39 | 0.11 | 2.4x | 64 | 55% |
| EMA 크로스오버 fast=33, slow=41 |
5.2% | -46.6% | 0.36 | 0.11 | 2.2x | 55 | 55% |
| Parabolic SAR step=0.005, maxStep=0.4 |
4.4% | -49.1% | 0.31 | 0.09 | 2.0x | 126 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=2 |
2.9% | -47.9% | 0.26 | 0.06 | 1.6x | 80 | 41% |
| Buy and hold | 3.6% | -76.6% | 0.27 | 0.05 | 1.8x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 26 days