Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hornbeck Offshore Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hornbeck Offshore Services, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.0%, MDD -73.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.5%, drawdown -97.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -82.7%, Sharpe 0.39, 76% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 3.0%, MDD -73.7%, exposure 46%).
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=23, exitN=74 |
7.9% | -82.7% | 0.39 | 0.10 | 9.1x | 71 | 76% |
| MACD fast=19, slow=57, signal=6 |
5.9% | -83.7% | 0.35 | 0.07 | 5.4x | 456 | 51% |
| 볼린저 밴드 돌파 n=26, k=1.1 |
3.4% | -76.9% | 0.27 | 0.04 | 2.6x | 346 | 43% |
| Supertrend period=11, mult=2.7 |
2.9% | -79.3% | 0.26 | 0.04 | 2.3x | 247 | 52% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=7, mult=0.6 |
3.0% | -73.7% | 0.26 | 0.04 | 2.4x | 512 | 46% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.1% | -87.9% | 0.22 | 0.01 | 1.4x | 518 | 51% |
| SMA 크로스오버 fast=12, slow=178 |
0.7% | -80.1% | 0.20 | 0.01 | 1.2x | 97 | 58% |
| EMA 크로스오버 fast=40, slow=102 |
-0.0% | -86.4% | 0.18 | -0.00 | 1.0x | 71 | 59% |
| ADX / DI 방향성 period=16, threshold=8 |
-1.9% | -86.4% | 0.14 | -0.02 | 0.6x | 601 | 53% |
| ROC 모멘텀 n=145, threshold=0.03 |
-2.9% | -90.0% | 0.10 | -0.03 | 0.4x | 321 | 54% |
| Buy and hold | 2.5% | -97.9% | 0.35 | 0.03 | 2.0x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 74 days