Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Ryman Healthcare Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ryman Healthcare Ltd.. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -32.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.3%, drawdown -87.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.9%, MDD -39.6%, Sharpe 0.72, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 7.0%, MDD -32.0%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=82 |
11.9% | -39.6% | 0.72 | 0.30 | 20.0x | 54 | 60% |
| SMA 크로스오버 fast=10, slow=130 |
11.7% | -51.0% | 0.70 | 0.23 | 18.8x | 66 | 61% |
| Keltner 채널 돌파 emaPeriod=112, atrPeriod=14, mult=2.4 |
10.2% | -43.7% | 0.69 | 0.23 | 13.4x | 74 | 52% |
| Donchian 채널 돌파 entryN=86, exitN=46 |
10.0% | -37.1% | 0.68 | 0.27 | 12.4x | 46 | 51% |
| ADX / DI 방향성 period=27, threshold=26 |
5.6% | -24.6% | 0.62 | 0.23 | 4.3x | 58 | 18% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
7.0% | -32.0% | 0.58 | 0.22 | 6.1x | 88 | 33% |
| ROC 모멘텀 n=139, threshold=0.12 |
6.3% | -56.2% | 0.51 | 0.11 | 5.0x | 170 | 40% |
| Supertrend period=8, mult=4.6 |
6.0% | -52.1% | 0.42 | 0.12 | 4.7x | 128 | 59% |
| MACD fast=31, slow=56, signal=31 |
4.3% | -42.4% | 0.32 | 0.10 | 3.1x | 169 | 51% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.0% | -57.0% | 0.20 | 0.03 | 1.7x | 381 | 52% |
| Buy and hold | 6.3% | -87.7% | 0.36 | 0.07 | 5.0x | 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 82-day EMA
- Sell — Sell when the 25-day EMA falls below the 82-day EMA