Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hovnanian Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hovnanian Enterprises, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.9%, MDD -66.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.9%, drawdown -99.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.9%, MDD -66.2%, Sharpe 0.58, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 16.9%, MDD -66.2%, exposure 48%).
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=47, exitN=47 |
16.9% | -66.2% | 0.58 | 0.25 | 802.7x | 95 | 48% |
| 볼린저 밴드 돌파 n=34, k=1.8 |
14.4% | -72.7% | 0.55 | 0.20 | 323.5x | 260 | 31% |
| Supertrend period=20, mult=4.7 |
14.3% | -76.8% | 0.52 | 0.19 | 310.4x | 147 | 47% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=11, mult=1.8 |
12.9% | -75.7% | 0.52 | 0.17 | 182.5x | 254 | 30% |
| SMA 크로스오버 fast=12, slow=95 |
13.2% | -78.5% | 0.50 | 0.17 | 202.9x | 159 | 47% |
| EMA 크로스오버 fast=28, slow=58 |
11.5% | -78.9% | 0.47 | 0.15 | 105.5x | 149 | 47% |
| ADX / DI 방향성 period=35, threshold=12 |
10.4% | -76.6% | 0.45 | 0.14 | 69.1x | 337 | 36% |
| MACD fast=21, slow=51, signal=30 |
8.9% | -90.3% | 0.41 | 0.10 | 38.1x | 345 | 52% |
| ROC 모멘텀 n=104, threshold=-0.02 |
7.7% | -81.7% | 0.38 | 0.09 | 23.9x | 405 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-2.0% | -97.7% | 0.17 | -0.02 | 0.4x | 916 | 48% |
| Buy and hold | 2.9% | -99.7% | 0.36 | 0.03 | 3.4x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 47 days