Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hyster-Yale, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hyster-Yale, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.1%, MDD -16.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.4%, drawdown -79.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.2%, MDD -20.3%, Sharpe 0.61, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR 2.1%, MDD -16.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=19, mult=3.4 |
6.2% | -20.3% | 0.61 | 0.31 | 2.3x | 12 | 5% |
| 볼린저 밴드 돌파 n=44, k=3 |
3.5% | -32.4% | 0.34 | 0.11 | 1.6x | 14 | 8% |
| ADX / DI 방향성 period=19, threshold=39 |
2.1% | -16.6% | 0.32 | 0.13 | 1.3x | 8 | 3% |
| Donchian 채널 돌파 entryN=104, exitN=40 |
3.6% | -55.9% | 0.27 | 0.07 | 1.6x | 24 | 28% |
| SMA 크로스오버 fast=57, slow=133 |
3.1% | -71.6% | 0.25 | 0.04 | 1.5x | 24 | 44% |
| EMA 크로스오버 fast=36, slow=91 |
2.4% | -67.0% | 0.23 | 0.04 | 1.4x | 32 | 41% |
| ROC 모멘텀 n=111, threshold=0 |
1.0% | -68.4% | 0.18 | 0.01 | 1.1x | 126 | 43% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.3% | -59.6% | 0.13 | -0.01 | 1.0x | 170 | 45% |
| Supertrend period=28, mult=5 |
-0.5% | -70.5% | 0.12 | -0.01 | 0.9x | 42 | 42% |
| MACD fast=6, slow=36, signal=7 |
-6.4% | -81.6% | -0.07 | -0.08 | 0.4x | 353 | 50% |
| Buy and hold | -1.4% | -79.9% | 0.18 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average