Trend-Following Backtester · Guide · backtest 한국어

equity · US

Federated Hermes, Inc. backtest

10 trend-following strategies were compared on the full daily history of Federated Hermes, 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 4.7%, MDD -36.8%).

Data 1998-05-14 ~ 2026-07-31daily bars 7,097 (28.2 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 5.5%, drawdown -70.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -36.8%, Sharpe 0.31, 71% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 33.7%p (CAGR 4.7%, MDD -36.8%, exposure 71%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=58, exitN=98
4.7%-36.8%0.310.133.7x3771%
SMA 크로스오버
fast=36, slow=135
3.4%-59.1%0.260.062.6x5961%
볼린저 밴드 돌파
n=23, k=3.3
1.0%-20.0%0.230.051.3x184%
EMA 크로스오버
fast=39, slow=81
1.8%-54.6%0.190.031.6x7562%
ROC 모멘텀
n=85, threshold=-0.04
1.4%-60.3%0.180.021.5x29371%
ADX / DI 방향성
period=35, threshold=27
0.2%-29.5%0.060.011.0x103%
Supertrend
period=8, mult=2.1
-1.9%-77.1%0.03-0.020.6x31156%
MACD
fast=15, slow=27, signal=13
-5.5%-88.3%-0.14-0.060.2x45551%
Keltner 채널 돌파
emaPeriod=35, atrPeriod=12, mult=1.5
-5.3%-86.3%-0.23-0.060.2x24738%
Parabolic SAR
step=0.015, maxStep=0.4
-8.5%-95.0%-0.28-0.090.1x52553%
Buy and hold5.5%-70.6%0.330.084.5x1100%
1x 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -35% -53% -71% 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -36.8% (2020-02-04 → 2020-09-24), recovered after 461 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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