Trend-Following Backtester · Guide · backtest 한국어
equity · US
H&R Block, Inc. backtest
10 trend-following strategies were compared on the full daily history of H&R Block, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -68.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.7%, MDD -71.9%, Sharpe 0.42, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
8.7% | -71.9% | 0.42 | 0.12 | 88.3x | 53 | 100% |
| Donchian 채널 돌파 entryN=23, exitN=89 |
4.0% | -84.0% | 0.28 | 0.05 | 8.1x | 127 | 82% |
| SMA 크로스오버 fast=52, slow=181 |
3.1% | -69.7% | 0.25 | 0.04 | 5.1x | 101 | 60% |
| EMA 크로스오버 fast=15, slow=137 |
2.5% | -81.8% | 0.22 | 0.03 | 3.7x | 179 | 60% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.4% | -72.2% | 0.18 | 0.02 | 2.2x | 425 | 54% |
| Supertrend period=15, mult=4.8 |
1.0% | -75.6% | 0.16 | 0.01 | 1.7x | 187 | 60% |
| ADX / DI 방향성 period=38, threshold=15 |
0.1% | -69.3% | 0.08 | 0.00 | 1.0x | 201 | 23% |
| MACD fast=19, slow=56, signal=17 |
-1.2% | -92.5% | 0.07 | -0.01 | 0.5x | 605 | 53% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.1% | -40.0% | 0.05 | 0.00 | 1.1x | 36 | 5% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=3.6 |
-0.6% | -81.3% | 0.04 | -0.01 | 0.7x | 165 | 25% |
| Buy and hold | 9.2% | -68.1% | 0.43 | 0.14 | 111.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -10%
- Sell — Sell when the 1-day return drops to -10% or below