Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hercules Capital, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hercules Capital, Inc.. 0 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 1.0%, MDD -54.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.1%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.0%, MDD -54.9%, Sharpe 0.16, 60% exposure.
CAGR reference leader: Supertrend — CAGR 1.1%, MDD -61.1%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 21.0%p (CAGR 1.0%, MDD -54.9%, exposure 60%).
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=14, exitN=19 |
1.0% | -54.9% | 0.16 | 0.02 | 1.2x | 125 | 60% |
| Supertrend period=20, mult=3.4 |
1.1% | -61.1% | 0.16 | 0.02 | 1.3x | 97 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3.1 |
0.5% | -46.2% | 0.10 | 0.01 | 1.1x | 56 | 25% |
| EMA 크로스오버 fast=19, slow=199 |
-0.5% | -50.6% | 0.06 | -0.01 | 0.9x | 46 | 56% |
| SMA 크로스오버 fast=8, slow=215 |
-0.9% | -45.3% | 0.04 | -0.02 | 0.8x | 58 | 54% |
| MACD fast=20, slow=47, signal=24 |
-1.4% | -54.6% | 0.04 | -0.03 | 0.7x | 197 | 49% |
| 볼린저 밴드 돌파 n=52, k=2.5 |
-0.4% | -36.9% | 0.03 | -0.01 | 0.9x | 58 | 26% |
| ROC 모멘텀 n=160, threshold=0.04 |
-1.1% | -64.6% | 0.00 | -0.02 | 0.8x | 184 | 43% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.6% | -69.1% | -0.02 | -0.04 | 0.6x | 175 | 53% |
| ADX / DI 방향성 period=26, threshold=31 |
-0.1% | -4.5% | -0.11 | -0.03 | 1.0x | 4 | 0% |
| Buy and hold | 1.1% | -75.9% | 0.20 | 0.01 | 1.3x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 19 days