Trend-Following Backtester · Guide · backtest 한국어
equity · US
Home Depot, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Home Depot, Inc. (The). 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.0%, drawdown -73.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.2%, MDD -58.5%, Sharpe 0.72, 63% exposure.
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=89, exitN=64 |
16.2% | -58.5% | 0.72 | 0.28 | 839.7x | 68 | 63% |
| EMA 크로스오버 fast=69, slow=106 |
15.0% | -67.9% | 0.65 | 0.22 | 538.9x | 60 | 71% |
| SMA 크로스오버 fast=11, slow=156 |
13.2% | -58.0% | 0.62 | 0.23 | 264.4x | 140 | 67% |
| ROC 모멘텀 n=81, threshold=-0.07 |
13.8% | -79.4% | 0.59 | 0.17 | 328.2x | 333 | 80% |
| Supertrend period=15, mult=4.7 |
12.6% | -55.2% | 0.59 | 0.23 | 208.9x | 173 | 62% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=2 |
8.9% | -55.2% | 0.50 | 0.16 | 46.2x | 256 | 49% |
| ADX / DI 방향성 period=21, threshold=27 |
6.2% | -30.9% | 0.48 | 0.20 | 15.0x | 118 | 15% |
| 볼린저 밴드 돌파 n=53, k=1.2 |
8.0% | -65.8% | 0.45 | 0.12 | 32.0x | 306 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
5.0% | -84.3% | 0.32 | 0.06 | 8.8x | 398 | 59% |
| MACD fast=18, slow=56, signal=19 |
4.1% | -63.7% | 0.29 | 0.06 | 6.2x | 480 | 52% |
| Buy and hold | 23.0% | -73.8% | 0.76 | 0.31 | 10874.8x | 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 89 days
- Sell — Sell when price breaks below the lowest low of the last 64 days