Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alignment Healthcare, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alignment Healthcare, Inc.. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.1%, MDD -15.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.9%, drawdown -83.6%).
Sharpe leader (same as main): MACD — CAGR 17.3%, MDD -49.7%, Sharpe 0.58, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.2%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 4.1%, MDD -15.9%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=48, signal=7 |
17.3% | -49.7% | 0.58 | 0.35 | 2.3x | 80 | 48% |
| Supertrend period=18, mult=1.5 |
14.9% | -54.6% | 0.53 | 0.27 | 2.1x | 84 | 50% |
| SMA 크로스오버 fast=56, slow=110 |
14.3% | -55.7% | 0.53 | 0.26 | 2.0x | 8 | 46% |
| EMA 크로스오버 fast=1, slow=186 |
8.8% | -47.0% | 0.41 | 0.19 | 1.6x | 30 | 44% |
| ROC 모멘텀 n=139, threshold=-0.05 |
7.0% | -51.0% | 0.38 | 0.14 | 1.4x | 32 | 57% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
4.1% | -15.9% | 0.37 | 0.26 | 1.2x | 14 | 8% |
| Parabolic SAR step=0.02, maxStep=0.24 |
4.2% | -65.6% | 0.32 | 0.06 | 1.2x | 114 | 52% |
| ADX / DI 방향성 period=26, threshold=9 |
2.3% | -67.9% | 0.27 | 0.03 | 1.1x | 72 | 51% |
| Donchian 채널 돌파 entryN=33, exitN=51 |
-3.2% | -65.2% | 0.16 | -0.05 | 0.8x | 13 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=2.9 |
-0.4% | -44.9% | 0.15 | -0.01 | 1.0x | 18 | 29% |
| Buy and hold | -2.9% | -83.6% | 0.28 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/48) crosses above its 7-day signal line
- Sell — Sell when the MACD line crosses back below the signal line