Trend-Following Backtester · Guide · backtest 한국어
equity · US
Option Care Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Option Care Health, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -58.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.6%, drawdown -95.8%).
Sharpe leader (same as main): MACD — CAGR 9.4%, MDD -79.5%, Sharpe 0.42, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 16.4%p (CAGR 3.8%, MDD -58.0%, exposure 14%).
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=31, slow=69, signal=14 |
9.4% | -79.5% | 0.42 | 0.12 | 14.9x | 243 | 51% |
| 볼린저 밴드 돌파 n=55, k=2.7 |
7.6% | -61.4% | 0.39 | 0.12 | 8.9x | 63 | 21% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=4 |
5.9% | -58.2% | 0.35 | 0.10 | 5.5x | 46 | 17% |
| Parabolic SAR step=0.045, maxStep=0.1 |
2.9% | -89.8% | 0.29 | 0.03 | 2.4x | 715 | 50% |
| Donchian 채널 돌파 entryN=106, exitN=32 |
3.8% | -78.4% | 0.27 | 0.05 | 3.1x | 56 | 26% |
| EMA 크로스오버 fast=18, slow=102 |
2.4% | -80.0% | 0.27 | 0.03 | 2.0x | 92 | 49% |
| SMA 크로스오버 fast=26, slow=166 |
2.0% | -91.4% | 0.27 | 0.02 | 1.8x | 64 | 50% |
| ADX / DI 방향성 period=28, threshold=22 |
3.8% | -58.0% | 0.27 | 0.07 | 3.1x | 84 | 14% |
| Supertrend period=19, mult=1.6 |
1.0% | -92.7% | 0.25 | 0.01 | 1.4x | 428 | 50% |
| ROC 모멘텀 n=124, threshold=0.04 |
1.2% | -89.4% | 0.24 | 0.01 | 1.4x | 342 | 46% |
| Buy and hold | -2.6% | -95.8% | 0.32 | -0.03 | 0.5x | 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 (31/69) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line