Trend-Following Backtester · Guide · backtest 한국어

equity · US

HP Inc. backtest

10 trend-following strategies were compared on the full daily history of HP Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -52.1%).

Data 1970-01-02 ~ 2026-07-31daily bars 14,266 (56.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.9%, drawdown -85.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -64.1%, Sharpe 0.39, 59% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 21.6%p (CAGR 6.6%, MDD -52.1%, exposure 58%).

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=53, exitN=62
6.9%-64.1%0.390.1143.0x11359%
SMA 크로스오버
fast=48, slow=97
6.6%-52.1%0.380.1337.2x14158%
EMA 크로스오버
fast=59, slow=264
5.9%-66.1%0.350.0925.1x6562%
Supertrend
period=11, mult=4.5
4.5%-55.8%0.300.0812.2x22756%
볼린저 밴드 돌파
n=58, k=2
4.0%-50.4%0.300.089.3x22136%
ADX / DI 방향성
period=38, threshold=16
2.7%-44.0%0.240.064.5x20924%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=29, mult=2.5
2.4%-55.6%0.220.043.8x26538%
Parabolic SAR
step=0.02, maxStep=0.02
2.3%-81.3%0.220.033.6x34756%
ROC 모멘텀
n=130, threshold=-0.04
2.2%-75.9%0.210.033.3x47964%
MACD
fast=19, slow=65, signal=39
0.8%-92.3%0.160.011.5x46151%
Buy and hold7.9%-85.7%0.390.0974.7x1100%
1x 10x 100x 1971 1978 1985 1992 1999 2006 2013 2020 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -86% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -64.1% (1983-06-16 → 1991-01-22), recovered after 4,263 days.

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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