Trend-Following Backtester · Guide · backtest 한국어
equity · US
Parker-Hannifin Corporation backtest
10 trend-following strategies were compared on the full daily history of Parker-Hannifin Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -67.7%).
Sharpe leader (same as main): Supertrend — CAGR 7.5%, MDD -37.1%, Sharpe 0.45, 59% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.6 |
7.5% | -37.1% | 0.45 | 0.20 | 29.0x | 175 | 59% |
| Donchian 채널 돌파 entryN=18, exitN=58 |
7.5% | -63.9% | 0.41 | 0.12 | 28.1x | 143 | 80% |
| SMA 크로스오버 fast=56, slow=159 |
4.8% | -71.4% | 0.32 | 0.07 | 9.0x | 86 | 66% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.3% | -55.1% | 0.30 | 0.08 | 7.0x | 619 | 56% |
| EMA 크로스오버 fast=44, slow=95 |
4.2% | -66.4% | 0.30 | 0.06 | 6.8x | 105 | 67% |
| MACD fast=18, slow=37, signal=19 |
3.3% | -57.6% | 0.26 | 0.06 | 4.5x | 539 | 50% |
| ROC 모멘텀 n=87, threshold=-0.03 |
2.7% | -71.4% | 0.23 | 0.04 | 3.4x | 431 | 71% |
| ADX / DI 방향성 period=37, threshold=37 |
0.3% | -7.8% | 0.16 | 0.04 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=17, mult=1.1 |
0.7% | -72.2% | 0.13 | 0.01 | 1.4x | 473 | 50% |
| 볼린저 밴드 돌파 n=39, k=1.4 |
0.4% | -77.9% | 0.11 | 0.01 | 1.2x | 383 | 44% |
| Buy and hold | 11.9% | -67.7% | 0.51 | 0.18 | 185.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)