Trend-Following Backtester · Guide · backtest 한국어
equity · US
HealthStream, Inc. backtest
10 trend-following strategies were compared on the full daily history of HealthStream, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.3%, MDD -59.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.6%, drawdown -92.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -68.9%, Sharpe 0.41, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 5.3%, MDD -59.8%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=78 |
8.8% | -68.9% | 0.41 | 0.13 | 9.1x | 91 | 49% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
6.9% | -60.9% | 0.38 | 0.11 | 5.7x | 89 | 31% |
| EMA 크로스오버 fast=52, slow=89 |
6.6% | -65.2% | 0.35 | 0.10 | 5.3x | 49 | 52% |
| Donchian 채널 돌파 entryN=51, exitN=19 |
5.3% | -59.8% | 0.32 | 0.09 | 3.9x | 77 | 34% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=3.4 |
1.6% | -28.7% | 0.22 | 0.06 | 1.5x | 18 | 3% |
| ADX / DI 방향성 period=23, threshold=29 |
2.0% | -36.7% | 0.22 | 0.06 | 1.7x | 33 | 5% |
| MACD fast=27, slow=59, signal=23 |
-3.4% | -91.2% | 0.16 | -0.04 | 0.4x | 206 | 52% |
| Supertrend period=17, mult=4.6 |
-1.0% | -89.1% | 0.15 | -0.01 | 0.8x | 73 | 44% |
| ROC 모멘텀 n=108, threshold=0.09 |
-2.5% | -81.4% | 0.09 | -0.03 | 0.5x | 267 | 38% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-11.5% | -96.4% | -0.10 | -0.12 | 0.0x | 445 | 50% |
| Buy and hold | 4.6% | -92.6% | 0.39 | 0.05 | 3.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 43-day average price crosses above the 78-day average
- Sell — Sell (to cash) when the 43-day average falls below the 78-day average