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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -58.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -58.2%, Sharpe 0.46, 42% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.3%, MDD -69.1%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 7.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=114, exitN=47 |
7.4% | -58.2% | 0.46 | 0.13 | 16.9x | 65 | 42% |
| ADX / DI 방향성 period=27, threshold=29 |
4.2% | -32.4% | 0.46 | 0.13 | 5.1x | 42 | 9% |
| SMA 크로스오버 fast=57, slow=264 |
8.3% | -69.1% | 0.45 | 0.12 | 23.6x | 35 | 61% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=3.9 |
5.9% | -63.5% | 0.45 | 0.09 | 9.8x | 87 | 23% |
| EMA 크로스오버 fast=31, slow=232 |
8.2% | -69.1% | 0.45 | 0.12 | 23.0x | 45 | 63% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
3.6% | -69.3% | 0.31 | 0.05 | 4.1x | 91 | 23% |
| ROC 모멘텀 n=164, threshold=0.03 |
2.6% | -78.5% | 0.25 | 0.03 | 2.8x | 313 | 53% |
| Supertrend period=14, mult=5 |
1.5% | -81.2% | 0.21 | 0.02 | 1.8x | 137 | 59% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-11.4% | -99.6% | -0.26 | -0.11 | 0.0x | 675 | 52% |
| MACD fast=18, slow=43, signal=16 |
-12.6% | -99.8% | -0.29 | -0.13 | 0.0x | 529 | 51% |
| Buy and hold | 6.8% | -96.4% | 0.38 | 0.07 | 13.3x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 47 days