Trend-Following Backtester · Guide · backtest 한국어
equity · US
Federated Hermes, Inc. backtest
10 trend-following strategies were compared on the full daily history of Federated Hermes, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.7%, MDD -36.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -70.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -36.8%, Sharpe 0.31, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 33.7%p (CAGR 4.7%, MDD -36.8%, exposure 71%).
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=58, exitN=98 |
4.7% | -36.8% | 0.31 | 0.13 | 3.7x | 37 | 71% |
| SMA 크로스오버 fast=36, slow=135 |
3.4% | -59.1% | 0.26 | 0.06 | 2.6x | 59 | 61% |
| 볼린저 밴드 돌파 n=23, k=3.3 |
1.0% | -20.0% | 0.23 | 0.05 | 1.3x | 18 | 4% |
| EMA 크로스오버 fast=39, slow=81 |
1.8% | -54.6% | 0.19 | 0.03 | 1.6x | 75 | 62% |
| ROC 모멘텀 n=85, threshold=-0.04 |
1.4% | -60.3% | 0.18 | 0.02 | 1.5x | 293 | 71% |
| ADX / DI 방향성 period=35, threshold=27 |
0.2% | -29.5% | 0.06 | 0.01 | 1.0x | 10 | 3% |
| Supertrend period=8, mult=2.1 |
-1.9% | -77.1% | 0.03 | -0.02 | 0.6x | 311 | 56% |
| MACD fast=15, slow=27, signal=13 |
-5.5% | -88.3% | -0.14 | -0.06 | 0.2x | 455 | 51% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=12, mult=1.5 |
-5.3% | -86.3% | -0.23 | -0.06 | 0.2x | 247 | 38% |
| Parabolic SAR step=0.015, maxStep=0.4 |
-8.5% | -95.0% | -0.28 | -0.09 | 0.1x | 525 | 53% |
| Buy and hold | 5.5% | -70.6% | 0.33 | 0.08 | 4.5x | 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 58 days
- Sell — Sell when price breaks below the lowest low of the last 98 days