Trend-Following Backtester · Guide · backtest 한국어
equity · US
Harley-Davidson, Inc. backtest
10 trend-following strategies were compared on the full daily history of Harley-Davidson, Inc.. 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 11.2%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -84.5%, Sharpe 0.45, 79% 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=15, exitN=58 |
9.6% | -84.5% | 0.45 | 0.11 | 39.4x | 127 | 79% |
| Supertrend period=26, mult=4.1 |
8.1% | -65.3% | 0.43 | 0.12 | 22.2x | 185 | 53% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=2.6 |
6.4% | -66.6% | 0.40 | 0.10 | 12.0x | 164 | 37% |
| MACD fast=38, slow=40, signal=29 |
7.3% | -78.4% | 0.39 | 0.09 | 16.8x | 284 | 52% |
| SMA 크로스오버 fast=13, slow=55 |
6.8% | -75.1% | 0.38 | 0.09 | 14.2x | 217 | 56% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
6.4% | -76.4% | 0.38 | 0.08 | 12.0x | 212 | 44% |
| EMA 크로스오버 fast=27, slow=183 |
6.3% | -76.6% | 0.36 | 0.08 | 11.4x | 75 | 61% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.9% | -86.4% | 0.31 | 0.06 | 6.9x | 334 | 55% |
| ADX / DI 방향성 period=13, threshold=23 |
2.9% | -68.0% | 0.24 | 0.04 | 3.2x | 414 | 31% |
| ROC 모멘텀 n=66, threshold=-0.02 |
1.6% | -95.1% | 0.20 | 0.02 | 1.9x | 499 | 63% |
| Buy and hold | 11.2% | -89.1% | 0.46 | 0.13 | 71.1x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 58 days