Trend-Following Backtester · Guide · backtest 한국어
equity · US
Helios Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Helios Technologies, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -77.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -62.6%, Sharpe 0.42, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=53, slow=94 |
8.9% | -62.6% | 0.42 | 0.14 | 12.5x | 91 | 57% |
| Supertrend period=20, mult=4.7 |
7.0% | -73.0% | 0.37 | 0.10 | 7.5x | 106 | 53% |
| Donchian 채널 돌파 entryN=81, exitN=65 |
6.3% | -65.7% | 0.35 | 0.10 | 6.1x | 51 | 54% |
| EMA 크로스오버 fast=41, slow=100 |
5.3% | -71.5% | 0.32 | 0.07 | 4.6x | 69 | 57% |
| MACD fast=23, slow=60, signal=25 |
5.0% | -81.0% | 0.31 | 0.06 | 4.3x | 240 | 52% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
4.2% | -71.5% | 0.30 | 0.06 | 3.4x | 88 | 25% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=2.6 |
3.7% | -70.8% | 0.27 | 0.05 | 2.9x | 126 | 34% |
| Parabolic SAR step=0.015, maxStep=0.16 |
2.7% | -71.7% | 0.25 | 0.04 | 2.2x | 492 | 52% |
| ADX / DI 방향성 period=32, threshold=37 |
0.9% | -11.0% | 0.18 | 0.08 | 1.3x | 4 | 2% |
| ROC 모멘텀 n=96, threshold=0.11 |
0.3% | -75.8% | 0.15 | 0.00 | 1.1x | 329 | 37% |
| Buy and hold | 11.5% | -77.5% | 0.47 | 0.15 | 25.2x | 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 53-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 53-day average falls below the 94-day average