Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Fortis Healthcare Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fortis Healthcare Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -58.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.5%, MDD -51.1%, Sharpe 0.51, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=32, slow=183 |
10.5% | -51.1% | 0.51 | 0.21 | 6.9x | 33 | 59% |
| SMA 크로스오버 fast=36, slow=287 |
10.1% | -53.2% | 0.49 | 0.19 | 6.3x | 25 | 59% |
| Donchian 채널 돌파 entryN=97, exitN=143 |
8.6% | -54.1% | 0.43 | 0.16 | 4.9x | 14 | 64% |
| ADX / DI 방향성 period=34, threshold=17 |
4.2% | -44.2% | 0.31 | 0.10 | 2.2x | 58 | 25% |
| Supertrend period=22, mult=3.8 |
4.7% | -67.8% | 0.30 | 0.07 | 2.4x | 69 | 61% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=2.9 |
3.1% | -37.6% | 0.27 | 0.08 | 1.8x | 40 | 18% |
| MACD fast=19, slow=60, signal=22 |
3.5% | -58.0% | 0.26 | 0.06 | 1.9x | 180 | 51% |
| 볼린저 밴드 돌파 n=46, k=3 |
3.0% | -36.1% | 0.26 | 0.08 | 1.8x | 42 | 19% |
| ROC 모멘텀 n=130, threshold=0.11 |
1.1% | -76.2% | 0.16 | 0.01 | 1.2x | 167 | 38% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.3% | -74.2% | 0.12 | -0.00 | 0.9x | 158 | 53% |
| Buy and hold | 12.4% | -58.5% | 0.50 | 0.21 | 9.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 183-day EMA
- Sell — Sell when the 32-day EMA falls below the 183-day EMA