Trend-Following Backtester · Guide · backtest 한국어
equity · US
Huntington Ingalls Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Huntington Ingalls Industries, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.3%, MDD -26.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.1%, drawdown -50.5%).
Sharpe leader (same as main): Supertrend — CAGR 18.3%, MDD -26.2%, Sharpe 0.96, 63% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 18.3%, MDD -26.2%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=4.9 |
18.3% | -26.2% | 0.96 | 0.70 | 13.3x | 39 | 63% |
| Donchian 채널 돌파 entryN=24, exitN=28 |
15.6% | -45.0% | 0.80 | 0.35 | 9.3x | 55 | 63% |
| 볼린저 밴드 돌파 n=57, k=1.9 |
12.4% | -37.6% | 0.80 | 0.33 | 6.1x | 56 | 47% |
| SMA 크로스오버 fast=42, slow=52 |
13.5% | -32.8% | 0.77 | 0.41 | 7.0x | 90 | 59% |
| EMA 크로스오버 fast=15, slow=55 |
12.9% | -43.4% | 0.72 | 0.30 | 6.4x | 60 | 61% |
| ADX / DI 방향성 period=22, threshold=12 |
11.7% | -35.8% | 0.69 | 0.33 | 5.5x | 161 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=2.5 |
10.5% | -41.4% | 0.69 | 0.25 | 4.7x | 58 | 47% |
| ROC 모멘텀 n=68, threshold=-0.03 |
12.9% | -50.8% | 0.69 | 0.25 | 6.4x | 108 | 68% |
| MACD fast=15, slow=57, signal=22 |
5.9% | -34.9% | 0.39 | 0.17 | 2.4x | 157 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
2.1% | -51.7% | 0.20 | 0.04 | 1.4x | 275 | 53% |
| Buy and hold | 15.1% | -50.5% | 0.63 | 0.30 | 8.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)