Trend-Following Backtester · Guide · backtest 한국어
equity · US
Henry Schein, Inc. backtest
10 trend-following strategies were compared on the full daily history of Henry Schein, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.0%, MDD -49.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -78.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.0%, MDD -49.3%, Sharpe 0.44, 93% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 29.2%p (CAGR 9.0%, MDD -49.3%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=40, threshold=-0.13 |
9.0% | -49.3% | 0.44 | 0.18 | 14.0x | 149 | 93% |
| Donchian 채널 돌파 entryN=17, exitN=60 |
7.5% | -59.3% | 0.40 | 0.13 | 9.1x | 83 | 81% |
| Supertrend period=11, mult=4.8 |
6.1% | -55.0% | 0.37 | 0.11 | 6.2x | 89 | 62% |
| SMA 크로스오버 fast=58, slow=199 |
5.2% | -64.0% | 0.34 | 0.08 | 4.7x | 41 | 67% |
| EMA 크로스오버 fast=21, slow=219 |
4.2% | -58.6% | 0.30 | 0.07 | 3.6x | 61 | 67% |
| ADX / DI 방향성 period=34, threshold=24 |
1.5% | -31.3% | 0.20 | 0.05 | 1.6x | 20 | 6% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.7% | -76.2% | 0.04 | -0.02 | 0.6x | 288 | 56% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
-2.2% | -73.1% | -0.01 | -0.03 | 0.5x | 223 | 48% |
| MACD fast=19, slow=38, signal=18 |
-3.0% | -74.5% | -0.03 | -0.04 | 0.4x | 372 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=1.2 |
-3.5% | -79.4% | -0.07 | -0.04 | 0.3x | 285 | 50% |
| Buy and hold | 10.1% | -78.5% | 0.46 | 0.13 | 19.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 40-day return is greater than -13%
- Sell — Sell when the 40-day return drops to -13% or below