Trend-Following Backtester · Guide · backtest 한국어
equity · US
HomeTrust Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of HomeTrust Bancshares, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.8%, MDD -32.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -58.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -32.4%, Sharpe 0.55, 54% exposure.
CAGR reference leader: Supertrend — CAGR 8.8%, MDD -32.3%, exposure 70%.
Return/drawdown alternative: Supertrend — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 8.8%, MDD -32.3%, exposure 70%).
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=85, exitN=43 |
8.6% | -32.4% | 0.55 | 0.26 | 3.2x | 21 | 54% |
| Supertrend period=24, mult=5 |
8.8% | -32.3% | 0.52 | 0.27 | 3.3x | 25 | 70% |
| EMA 크로스오버 fast=49, slow=194 |
8.0% | -40.5% | 0.50 | 0.20 | 3.0x | 13 | 66% |
| SMA 크로스오버 fast=8, slow=150 |
8.1% | -30.0% | 0.50 | 0.27 | 3.0x | 45 | 61% |
| ROC 모멘텀 n=128, threshold=-0.01 |
8.2% | -38.0% | 0.49 | 0.21 | 3.0x | 93 | 65% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=2.9 |
5.9% | -27.9% | 0.48 | 0.21 | 2.2x | 35 | 24% |
| 볼린저 밴드 돌파 n=37, k=3.3 |
3.8% | -21.3% | 0.45 | 0.18 | 1.7x | 16 | 12% |
| Parabolic SAR step=0.015, maxStep=0.06 |
1.5% | -38.4% | 0.17 | 0.04 | 1.2x | 207 | 56% |
| MACD fast=15, slow=67, signal=24 |
0.9% | -45.4% | 0.14 | 0.02 | 1.1x | 147 | 47% |
| ADX / DI 방향성 period=24, threshold=21 |
-0.0% | -29.5% | 0.06 | -0.00 | 1.0x | 60 | 17% |
| Buy and hold | 11.0% | -58.3% | 0.52 | 0.19 | 4.4x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 43 days