Trend-Following Backtester · Guide · backtest 한국어
equity · US
Helmerich & Payne, Inc. backtest
10 trend-following strategies were compared on the full daily history of Helmerich & Payne, Inc.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.2%, MDD -61.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.0%, drawdown -89.2%).
Sharpe leader (same as main): Supertrend — CAGR 5.4%, MDD -62.9%, Sharpe 0.33, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 3.2%, MDD -61.9%, exposure 23%).
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=11, mult=3 |
5.4% | -62.9% | 0.33 | 0.09 | 11.2x | 313 | 51% |
| Donchian 채널 돌파 entryN=18, exitN=36 |
5.1% | -70.4% | 0.31 | 0.07 | 9.7x | 191 | 66% |
| SMA 크로스오버 fast=18, slow=56 |
4.3% | -64.4% | 0.29 | 0.07 | 6.9x | 229 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=4 |
3.2% | -61.9% | 0.27 | 0.05 | 4.3x | 103 | 23% |
| EMA 크로스오버 fast=36, slow=39 |
3.5% | -63.7% | 0.26 | 0.05 | 4.8x | 181 | 53% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
2.9% | -81.2% | 0.24 | 0.04 | 3.7x | 165 | 29% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.6% | -76.6% | 0.16 | 0.01 | 1.3x | 401 | 51% |
| ROC 모멘텀 n=91, threshold=0.05 |
0.8% | -78.1% | 0.16 | 0.01 | 1.4x | 457 | 45% |
| ADX / DI 방향성 period=32, threshold=22 |
1.0% | -50.1% | 0.14 | 0.02 | 1.6x | 74 | 11% |
| MACD fast=13, slow=52, signal=20 |
-2.9% | -91.2% | 0.05 | -0.03 | 0.3x | 541 | 52% |
| Buy and hold | 3.0% | -89.2% | 0.28 | 0.03 | 3.9x | 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) — 11-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)