Trend-Following Backtester · Guide · backtest 한국어
equity · US
Herc Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Herc Holdings Inc.. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.9%, MDD -57.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.0%, drawdown -94.2%).
Sharpe leader (same as main): MACD — CAGR 10.6%, MDD -73.3%, Sharpe 0.45, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 6.9%, MDD -57.0%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=21, signal=8 |
10.6% | -73.3% | 0.45 | 0.14 | 7.3x | 398 | 51% |
| ROC 모멘텀 n=74, threshold=0.01 |
9.7% | -62.4% | 0.44 | 0.15 | 6.1x | 229 | 53% |
| Donchian 채널 돌파 entryN=63, exitN=76 |
8.3% | -65.1% | 0.40 | 0.13 | 4.8x | 31 | 58% |
| Parabolic SAR step=0.015, maxStep=0.12 |
8.2% | -75.5% | 0.40 | 0.11 | 4.8x | 343 | 52% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=36, mult=3.3 |
6.9% | -57.0% | 0.39 | 0.12 | 3.7x | 54 | 31% |
| SMA 크로스오버 fast=37, slow=132 |
7.4% | -73.3% | 0.38 | 0.10 | 4.1x | 41 | 52% |
| EMA 크로스오버 fast=32, slow=65 |
6.4% | -67.4% | 0.35 | 0.10 | 3.4x | 61 | 54% |
| Supertrend period=9, mult=1.8 |
6.0% | -74.4% | 0.34 | 0.08 | 3.2x | 298 | 52% |
| 볼린저 밴드 돌파 n=12, k=1.6 |
5.5% | -58.9% | 0.32 | 0.09 | 2.9x | 342 | 36% |
| ADX / DI 방향성 period=17, threshold=26 |
2.7% | -42.9% | 0.23 | 0.06 | 1.7x | 106 | 19% |
| Buy and hold | 6.0% | -94.2% | 0.40 | 0.06 | 3.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/21) crosses above its 8-day signal line
- Sell — Sell when the MACD line crosses back below the signal line