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.. 6 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
6 of 10 beat buy and hold (CAGR 2.5%, drawdown -89.2%).
Sharpe leader (same as main): Supertrend — CAGR 5.1%, MDD -62.9%, Sharpe 0.32, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.6%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 |
5.1% | -62.9% | 0.32 | 0.08 | 9.5x | 312 | 51% |
| Donchian 채널 돌파 entryN=18, exitN=36 |
4.6% | -70.4% | 0.30 | 0.06 | 7.7x | 191 | 66% |
| SMA 크로스오버 fast=18, slow=56 |
4.3% | -64.4% | 0.29 | 0.07 | 6.8x | 228 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=4 |
3.2% | -61.9% | 0.27 | 0.05 | 4.2x | 102 | 23% |
| EMA 크로스오버 fast=36, slow=39 |
3.4% | -63.7% | 0.26 | 0.05 | 4.7x | 180 | 52% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
2.8% | -81.2% | 0.24 | 0.03 | 3.6x | 164 | 28% |
| ROC 모멘텀 n=91, threshold=0.05 |
0.7% | -78.1% | 0.15 | 0.01 | 1.4x | 456 | 44% |
| ADX / DI 방향성 period=32, threshold=22 |
1.0% | -50.1% | 0.15 | 0.02 | 1.6x | 74 | 11% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.1% | -76.6% | 0.14 | 0.00 | 1.1x | 401 | 51% |
| MACD fast=13, slow=52, signal=20 |
-3.4% | -91.2% | 0.04 | -0.04 | 0.2x | 541 | 52% |
| Buy and hold | 2.5% | -89.2% | 0.27 | 0.03 | 3.1x | 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)