Trend-Following Backtester · Guide · backtest 한국어
equity · CA
WELL Health Technologies Corp. backtest
10 trend-following strategies were compared on the full daily history of WELL Health Technologies Corp.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 29.8%, MDD -62.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 28.4%, drawdown -98.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 29.8%, MDD -62.2%, Sharpe 0.72, 53% exposure.
CAGR reference leader: MACD — CAGR 38.6%, MDD -76.2%, exposure 51%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 29.8%, MDD -62.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=274 |
29.8% | -62.2% | 0.72 | 0.48 | 35.1x | 12 | 53% |
| SMA 크로스오버 fast=42, slow=147 |
27.0% | -58.9% | 0.70 | 0.46 | 26.1x | 21 | 49% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
25.2% | -61.6% | 0.69 | 0.41 | 21.5x | 63 | 35% |
| ROC 모멘텀 n=115, threshold=0.09 |
22.7% | -56.8% | 0.64 | 0.40 | 16.4x | 84 | 39% |
| Parabolic SAR step=0.01, maxStep=0.08 |
20.7% | -64.5% | 0.61 | 0.32 | 13.0x | 101 | 42% |
| MACD fast=15, slow=54, signal=17 |
38.6% | -76.2% | 0.50 | 0.51 | 85.7x | 111 | 51% |
| Donchian 채널 돌파 entryN=17, exitN=83 |
23.4% | -92.1% | 0.49 | 0.25 | 17.6x | 33 | 86% |
| ADX / DI 방향성 period=29, threshold=9 |
6.5% | -93.7% | 0.44 | 0.07 | 2.4x | 113 | 50% |
| Supertrend period=15, mult=2.8 |
20.4% | -88.7% | 0.43 | 0.23 | 12.5x | 93 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=4 |
6.5% | -90.2% | 0.42 | 0.07 | 2.4x | 30 | 32% |
| Buy and hold | 28.4% | -98.3% | 0.58 | 0.29 | 30.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 274-day EMA
- Sell — Sell when the 25-day EMA falls below the 274-day EMA