Trend-Following Backtester · Guide · backtest 한국어

equity · US

Harley-Davidson, Inc. backtest

10 trend-following strategies were compared on the full daily history of Harley-Davidson, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1986-07-08 ~ 2026-07-31daily bars 10,094 (40.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.2%, drawdown -89.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -84.5%, Sharpe 0.45, 79% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=15, exitN=58
9.6%-84.5%0.450.1139.4x12779%
Supertrend
period=26, mult=4.1
8.1%-65.3%0.430.1222.2x18553%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=17, mult=2.6
6.4%-66.6%0.400.1012.0x16437%
MACD
fast=38, slow=40, signal=29
7.3%-78.4%0.390.0916.8x28452%
SMA 크로스오버
fast=13, slow=55
6.8%-75.1%0.380.0914.2x21756%
볼린저 밴드 돌파
n=59, k=1.3
6.4%-76.4%0.380.0812.0x21244%
EMA 크로스오버
fast=27, slow=183
6.3%-76.6%0.360.0811.4x7561%
Parabolic SAR
step=0.005, maxStep=0.36
4.9%-86.4%0.310.066.9x33455%
ADX / DI 방향성
period=13, threshold=23
2.9%-68.0%0.240.043.2x41431%
ROC 모멘텀
n=66, threshold=-0.02
1.6%-95.1%0.200.021.9x49963%
Buy and hold11.2%-89.1%0.460.1371.1x1100%
1x 10x 100x 1987 1992 1997 2002 2007 2012 2017 2022 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -45% -67% -89% 1987 1992 1997 2002 2007 2012 2017 2022 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -84.5% (2014-01-08 → 2020-05-13), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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