Trend-Following Backtester · Guide · backtest 한국어
equity · US
Haverty Furniture Companies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Haverty Furniture Companies, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -68.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -22.7%, Sharpe 0.52, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.3%, MDD -50.2%, exposure 19%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=3.3 |
3.2% | -22.7% | 0.52 | 0.14 | 4.2x | 40 | 5% |
| ADX / DI 방향성 period=35, threshold=42 |
3.2% | -48.7% | 0.41 | 0.06 | 4.2x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=3.9 |
4.3% | -50.2% | 0.33 | 0.08 | 6.9x | 74 | 19% |
| Donchian 채널 돌파 entryN=38, exitN=66 |
3.1% | -78.3% | 0.25 | 0.04 | 4.1x | 115 | 62% |
| Parabolic SAR step=0.01, maxStep=0.3 |
2.2% | -97.8% | 0.22 | 0.02 | 2.7x | 528 | 52% |
| SMA 크로스오버 fast=36, slow=108 |
2.1% | -80.6% | 0.22 | 0.03 | 2.6x | 123 | 53% |
| Supertrend period=8, mult=4.6 |
2.0% | -87.8% | 0.22 | 0.02 | 2.5x | 159 | 54% |
| EMA 크로스오버 fast=26, slow=48 |
1.2% | -90.7% | 0.19 | 0.01 | 1.8x | 195 | 54% |
| MACD fast=40, slow=69, signal=26 |
1.0% | -88.7% | 0.18 | 0.01 | 1.6x | 305 | 50% |
| ROC 모멘텀 n=99, threshold=-0.02 |
-2.0% | -93.8% | 0.09 | -0.02 | 0.4x | 511 | 58% |
| Buy and hold | 7.9% | -68.9% | 0.39 | 0.11 | 33.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 17-day middle average