Trend-Following Backtester · Guide · backtest 한국어
equity · US
Harrow, Inc. backtest
10 trend-following strategies were compared on the full daily history of Harrow, Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
6 of 10 beat buy and hold (CAGR -5.8%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.2%, MDD -99.3%, Sharpe 0.55, 64% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 8.2%, MDD -83.7%, exposure 13%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=40, exitN=73 |
3.2% | -99.3% | 0.55 | 0.03 | 1.8x | 29 | 64% |
| MACD fast=28, slow=113, signal=29 |
-5.3% | -98.5% | 0.50 | -0.05 | 0.4x | 103 | 53% |
| SMA 크로스오버 fast=29, slow=84 |
2.5% | -94.8% | 0.39 | 0.03 | 1.6x | 61 | 48% |
| ADX / DI 방향성 period=20, threshold=29 |
8.2% | -83.7% | 0.38 | 0.10 | 4.4x | 64 | 13% |
| ROC 모멘텀 n=70, threshold=-0.02 |
-1.4% | -95.5% | 0.34 | -0.01 | 0.8x | 222 | 52% |
| Supertrend period=30, mult=5 |
-12.2% | -99.7% | 0.33 | -0.12 | 0.1x | 63 | 48% |
| EMA 크로스오버 fast=30, slow=125 |
-2.6% | -91.8% | 0.27 | -0.03 | 0.6x | 43 | 45% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-14.2% | -99.8% | 0.22 | -0.14 | 0.1x | 210 | 44% |
| 볼린저 밴드 돌파 n=46, k=2.1 |
-7.3% | -97.6% | 0.21 | -0.07 | 0.2x | 80 | 27% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=17, mult=3.9 |
-9.5% | -96.7% | 0.11 | -0.10 | 0.2x | 40 | 15% |
| Buy and hold | -5.8% | -99.5% | 0.63 | -0.06 | 0.3x | 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 40 days
- Sell — Sell when price breaks below the lowest low of the last 73 days