Trend-Following Backtester · Guide · backtest 한국어
equity · US
National HealthCare Corporation backtest
10 trend-following strategies were compared on the full daily history of National HealthCare Corporation. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.3%, MDD -58.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.6%, drawdown -96.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.2%, MDD -32.4%, Sharpe 0.46, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.2%, MDD -69.1%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 63.9%p (CAGR 7.3%, MDD -58.2%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=29 |
4.2% | -32.4% | 0.46 | 0.13 | 5.1x | 42 | 9% |
| Donchian 채널 돌파 entryN=114, exitN=47 |
7.3% | -58.2% | 0.45 | 0.12 | 16.2x | 65 | 42% |
| SMA 크로스오버 fast=57, slow=264 |
8.2% | -69.1% | 0.45 | 0.12 | 22.6x | 35 | 61% |
| EMA 크로스오버 fast=31, slow=232 |
8.1% | -69.1% | 0.45 | 0.12 | 22.1x | 45 | 63% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=3.9 |
5.8% | -63.5% | 0.44 | 0.09 | 9.3x | 87 | 24% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
3.5% | -69.3% | 0.30 | 0.05 | 3.9x | 91 | 23% |
| ROC 모멘텀 n=164, threshold=0.03 |
2.5% | -78.5% | 0.25 | 0.03 | 2.7x | 313 | 53% |
| Supertrend period=14, mult=5 |
1.4% | -81.2% | 0.21 | 0.02 | 1.7x | 137 | 59% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-11.7% | -99.6% | -0.27 | -0.12 | 0.0x | 677 | 52% |
| MACD fast=18, slow=43, signal=16 |
-12.9% | -99.8% | -0.29 | -0.13 | 0.0x | 532 | 51% |
| Buy and hold | 6.6% | -96.4% | 0.37 | 0.07 | 12.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)