Trend-Following Backtester · Guide · backtest 한국어

equity · US

Robert Half Inc. backtest

10 trend-following strategies were compared on the full daily history of Robert Half Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.8%, MDD -52.7%).

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 13.3%, drawdown -82.4%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.8%, MDD -52.7%, Sharpe 0.62, 60% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 13.8%, MDD -52.7%, exposure 60%).

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
EMA 크로스오버
fast=33, slow=78
13.8%-52.7%0.620.26394.1x10360%
Donchian 채널 돌파
entryN=89, exitN=64
11.5%-57.8%0.560.20156.7x7754%
Supertrend
period=19, mult=5
11.5%-58.2%0.560.20157.8x16155%
SMA 크로스오버
fast=24, slow=117
11.7%-62.4%0.560.19170.6x10559%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=21, mult=2.5
8.4%-46.3%0.490.1842.7x19141%
ROC 모멘텀
n=100, threshold=-0.03
9.5%-67.4%0.470.1468.0x34565%
ADX / DI 방향성
period=35, threshold=30
4.4%-32.0%0.430.147.5x4211%
볼린저 밴드 돌파
n=57, k=1.6
6.4%-61.3%0.400.1017.9x21542%
Parabolic SAR
step=0.005, maxStep=0.36
5.2%-84.9%0.330.0610.6x35454%
MACD
fast=17, slow=53, signal=18
2.6%-87.9%0.230.033.3x47149%
Buy and hold13.3%-82.4%0.520.16328.2x1100%
1x 10x 100x 1,000x 1981 1987 1993 1999 2005 2011 2017 2023 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -41% -62% -82% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -52.7% (2000-10-09 → 2003-05-21), recovered after 4,963 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

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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