Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hilltop Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Hilltop Holdings Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -44.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.3%, drawdown -63.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -44.2%, Sharpe 0.43, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 19.0%p (CAGR 6.7%, MDD -44.2%, exposure 47%).
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=56, slow=182 |
6.7% | -44.2% | 0.43 | 0.15 | 4.3x | 27 | 47% |
| Donchian 채널 돌파 entryN=22, exitN=56 |
3.6% | -49.1% | 0.27 | 0.07 | 2.2x | 55 | 69% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=14, mult=3.8 |
0.7% | -7.5% | 0.26 | 0.10 | 1.2x | 6 | 1% |
| ADX / DI 방향성 period=30, threshold=37 |
0.5% | -3.7% | 0.25 | 0.13 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=58, slow=173 |
2.8% | -55.2% | 0.24 | 0.05 | 1.9x | 33 | 49% |
| ROC 모멘텀 n=114, threshold=0.2 |
0.9% | -30.3% | 0.13 | 0.03 | 1.2x | 102 | 16% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
0.4% | -32.9% | 0.09 | 0.01 | 1.1x | 22 | 9% |
| Supertrend period=21, mult=2.6 |
-0.9% | -58.8% | 0.06 | -0.02 | 0.8x | 173 | 48% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.6% | -80.0% | -0.22 | -0.08 | 0.2x | 413 | 49% |
| MACD fast=17, slow=44, signal=12 |
-9.2% | -90.0% | -0.35 | -0.10 | 0.1x | 331 | 50% |
| Buy and hold | 3.3% | -63.2% | 0.26 | 0.05 | 2.1x | 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 56-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 56-day average falls below the 182-day average