Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hims & Hers Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hims & Hers Health, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.8%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 16.3%, drawdown -87.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 41.4%, MDD -53.4%, Sharpe 0.88, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 25.1%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 20.8%, MDD -33.0%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=4, slow=57 |
41.4% | -53.4% | 0.88 | 0.77 | 10.8x | 40 | 51% |
| ROC 모멘텀 n=115, threshold=-0.11 |
41.0% | -63.5% | 0.85 | 0.65 | 10.6x | 17 | 64% |
| ADX / DI 방향성 period=37, threshold=11 |
40.4% | -65.8% | 0.85 | 0.61 | 10.3x | 48 | 59% |
| MACD fast=16, slow=23, signal=16 |
37.9% | -75.6% | 0.84 | 0.50 | 9.1x | 82 | 53% |
| Supertrend period=24, mult=1.7 |
34.0% | -62.5% | 0.81 | 0.54 | 7.5x | 102 | 44% |
| Parabolic SAR step=0.02, maxStep=0.32 |
35.3% | -64.2% | 0.80 | 0.55 | 8.0x | 142 | 49% |
| 볼린저 밴드 돌파 n=11, k=2.4 |
20.8% | -33.0% | 0.73 | 0.63 | 3.7x | 46 | 17% |
| SMA 크로스오버 fast=47, slow=128 |
29.5% | -65.7% | 0.73 | 0.45 | 5.9x | 15 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=1.1 |
24.5% | -61.6% | 0.68 | 0.40 | 4.5x | 82 | 37% |
| Donchian 채널 돌파 entryN=56, exitN=77 |
16.9% | -67.9% | 0.56 | 0.25 | 2.9x | 13 | 59% |
| Buy and hold | 16.3% | -87.3% | 0.58 | 0.19 | 2.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 4-day EMA crosses above the 57-day EMA
- Sell — Sell when the 4-day EMA falls below the 57-day EMA