Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hewlett Packard Enterprise Company backtest
10 trend-following strategies were compared on the full daily history of Hewlett Packard Enterprise Company. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.2%, MDD -46.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -59.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.3%, MDD -22.5%, Sharpe 0.61, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.2%, MDD -46.4%, exposure 89%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.5%p lower than buy and hold, while drawdown improves by 37.1%p (CAGR 15.2%, MDD -46.4%, exposure 89%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=3.2 |
7.3% | -22.5% | 0.61 | 0.33 | 2.2x | 10 | 7% |
| Donchian 채널 돌파 entryN=9, exitN=72 |
15.2% | -46.4% | 0.59 | 0.33 | 4.7x | 31 | 89% |
| SMA 크로스오버 fast=34, slow=80 |
12.0% | -35.3% | 0.58 | 0.34 | 3.4x | 37 | 54% |
| MACD fast=17, slow=40, signal=9 |
12.1% | -35.5% | 0.56 | 0.34 | 3.5x | 148 | 49% |
| ADX / DI 방향성 period=26, threshold=16 |
7.4% | -35.2% | 0.46 | 0.21 | 2.2x | 73 | 28% |
| ROC 모멘텀 n=14, threshold=0.1 |
5.5% | -35.5% | 0.42 | 0.16 | 1.8x | 140 | 14% |
| EMA 크로스오버 fast=64, slow=150 |
7.9% | -57.8% | 0.41 | 0.14 | 2.3x | 17 | 68% |
| Supertrend period=27, mult=3.2 |
6.1% | -50.7% | 0.36 | 0.12 | 1.9x | 83 | 54% |
| Parabolic SAR step=0.015, maxStep=0.34 |
5.6% | -53.7% | 0.33 | 0.10 | 1.8x | 196 | 52% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=15, mult=3.5 |
4.0% | -31.8% | 0.32 | 0.13 | 1.5x | 26 | 16% |
| Buy and hold | 16.8% | -59.7% | 0.60 | 0.28 | 5.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 26-day middle average