Trend-Following Backtester · Guide · backtest 한국어
equity · US
Astrana Health Inc. backtest
10 trend-following strategies were compared on the full daily history of Astrana Health Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -99.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -22.8%, MDD -100.0%, Sharpe 0.41, 86% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -4.6%, MDD -98.6%, exposure 17%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=61 |
-22.8% | -100.0% | 0.41 | -0.23 | 0.0x | 71 | 86% |
| SMA 크로스오버 fast=27, slow=39 |
-8.0% | -99.3% | 0.38 | -0.08 | 0.2x | 149 | 52% |
| ADX / DI 방향성 period=38, threshold=20 |
-4.6% | -98.6% | 0.33 | -0.05 | 0.4x | 36 | 17% |
| ROC 모멘텀 n=177, threshold=0.03 |
-16.6% | -99.6% | 0.32 | -0.17 | 0.0x | 147 | 47% |
| EMA 크로스오버 fast=58, slow=207 |
-18.3% | -99.9% | 0.30 | -0.18 | 0.0x | 27 | 48% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-17.5% | -99.8% | 0.30 | -0.18 | 0.0x | 170 | 47% |
| Supertrend period=22, mult=4.2 |
-40.8% | -100.0% | 0.29 | -0.41 | 0.0x | 124 | 55% |
| MACD fast=15, slow=44, signal=19 |
-17.5% | -100.0% | 0.28 | -0.18 | 0.0x | 226 | 50% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=6, mult=3.2 |
-27.0% | -99.9% | 0.22 | -0.27 | 0.0x | 70 | 11% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
-24.7% | -99.8% | 0.12 | -0.25 | 0.0x | 56 | 26% |
| Buy and hold | 7.9% | -99.6% | 0.54 | 0.08 | 3.8x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 61 days