Trend-Following Backtester · Guide · backtest 한국어
equity · US
HP Inc. backtest
10 trend-following strategies were compared on the full daily history of HP Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -52.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -85.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -64.1%, Sharpe 0.39, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 21.6%p (CAGR 6.8%, MDD -52.1%, exposure 58%).
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=53, exitN=62 |
7.0% | -64.1% | 0.39 | 0.11 | 47.4x | 113 | 59% |
| SMA 크로스오버 fast=48, slow=97 |
6.8% | -52.1% | 0.38 | 0.13 | 40.9x | 141 | 58% |
| EMA 크로스오버 fast=59, slow=264 |
6.0% | -66.1% | 0.35 | 0.09 | 27.6x | 65 | 62% |
| Supertrend period=11, mult=4.5 |
4.7% | -55.8% | 0.31 | 0.08 | 13.4x | 227 | 56% |
| 볼린저 밴드 돌파 n=58, k=2 |
4.2% | -50.4% | 0.31 | 0.08 | 10.3x | 221 | 36% |
| ADX / DI 방향성 period=38, threshold=16 |
2.9% | -44.0% | 0.25 | 0.07 | 4.9x | 209 | 24% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.5 |
2.6% | -55.6% | 0.23 | 0.05 | 4.2x | 265 | 38% |
| Parabolic SAR step=0.02, maxStep=0.02 |
2.5% | -81.3% | 0.22 | 0.03 | 4.0x | 347 | 56% |
| ROC 모멘텀 n=130, threshold=-0.04 |
2.3% | -75.9% | 0.22 | 0.03 | 3.7x | 479 | 64% |
| MACD fast=19, slow=65, signal=39 |
0.9% | -92.3% | 0.16 | 0.01 | 1.7x | 461 | 51% |
| Buy and hold | 8.1% | -85.7% | 0.40 | 0.09 | 82.2x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 62 days