Trend-Following Backtester · Guide · backtest 한국어
equity · US
Herbalife Ltd. backtest
10 trend-following strategies were compared on the full daily history of Herbalife Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.1%, MDD -46.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.8%, drawdown -91.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -81.9%, Sharpe 0.43, 86% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 9.8%p (CAGR 8.1%, MDD -46.8%, exposure 61%).
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=7, exitN=76 |
9.8% | -81.9% | 0.43 | 0.12 | 7.6x | 65 | 86% |
| ROC 모멘텀 n=201, threshold=-0.06 |
8.1% | -46.8% | 0.40 | 0.17 | 5.3x | 81 | 61% |
| MACD fast=16, slow=49, signal=24 |
7.3% | -67.2% | 0.38 | 0.11 | 4.6x | 215 | 49% |
| 볼린저 밴드 돌파 n=52, k=3.2 |
4.8% | -54.6% | 0.36 | 0.09 | 2.7x | 36 | 17% |
| EMA 크로스오버 fast=58, slow=190 |
6.3% | -56.0% | 0.35 | 0.11 | 3.7x | 26 | 57% |
| SMA 크로스오버 fast=57, slow=277 |
6.2% | -54.1% | 0.35 | 0.11 | 3.7x | 20 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.6% | -74.1% | 0.33 | 0.08 | 3.3x | 166 | 54% |
| Supertrend period=15, mult=3.2 |
5.5% | -68.0% | 0.33 | 0.08 | 3.2x | 132 | 55% |
| ADX / DI 방향성 period=28, threshold=37 |
1.8% | -17.1% | 0.29 | 0.10 | 1.5x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=3.9 |
1.9% | -36.7% | 0.24 | 0.05 | 1.5x | 32 | 8% |
| Buy and hold | 5.8% | -91.7% | 0.36 | 0.06 | 3.4x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 76 days