Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Bausch Health Companies Inc. backtest
10 trend-following strategies were compared on the full daily history of Bausch Health Companies Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -45.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.4%, drawdown -98.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -58.3%, Sharpe 0.51, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 7.0%, MDD -45.5%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=19 |
10.4% | -58.3% | 0.51 | 0.18 | 20.4x | 105 | 36% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=2.1 |
8.1% | -60.1% | 0.43 | 0.14 | 10.8x | 141 | 37% |
| SMA 크로스오버 fast=29, slow=190 |
7.8% | -81.9% | 0.39 | 0.10 | 9.9x | 51 | 55% |
| 볼린저 밴드 돌파 n=50, k=2.1 |
7.0% | -45.5% | 0.39 | 0.15 | 7.7x | 119 | 33% |
| EMA 크로스오버 fast=37, slow=190 |
7.2% | -86.1% | 0.38 | 0.08 | 8.3x | 45 | 55% |
| MACD fast=23, slow=47, signal=26 |
7.1% | -72.3% | 0.38 | 0.10 | 8.1x | 243 | 52% |
| Supertrend period=20, mult=3.8 |
6.8% | -71.0% | 0.36 | 0.10 | 7.3x | 153 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.5% | -88.7% | 0.33 | 0.06 | 5.1x | 245 | 53% |
| ADX / DI 방향성 period=17, threshold=20 |
4.6% | -57.1% | 0.30 | 0.08 | 3.9x | 271 | 32% |
| ROC 모멘텀 n=133, threshold=0.05 |
3.9% | -82.9% | 0.28 | 0.05 | 3.2x | 278 | 50% |
| Buy and hold | -0.4% | -98.4% | 0.27 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 19 days