Trend-Following Backtester · Guide · backtest 한국어
equity · US
Surgery Partners, Inc. backtest
10 trend-following strategies were compared on the full daily history of Surgery Partners, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.0%, MDD -19.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.0%, drawdown -82.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.0%, MDD -26.7%, Sharpe 0.77, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 11.0%, MDD -19.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=55, k=3.2 |
15.0% | -26.7% | 0.77 | 0.56 | 4.6x | 9 | 16% |
| ADX / DI 방향성 period=39, threshold=23 |
11.0% | -19.9% | 0.70 | 0.55 | 3.1x | 10 | 9% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=4 |
11.6% | -38.7% | 0.62 | 0.30 | 3.3x | 13 | 17% |
| SMA 크로스오버 fast=5, slow=72 |
9.0% | -65.3% | 0.42 | 0.14 | 2.6x | 61 | 50% |
| Donchian 채널 돌파 entryN=71, exitN=46 |
7.9% | -49.8% | 0.41 | 0.16 | 2.3x | 19 | 32% |
| Supertrend period=26, mult=4.9 |
7.9% | -69.3% | 0.39 | 0.11 | 2.3x | 33 | 55% |
| EMA 크로스오버 fast=10, slow=50 |
3.9% | -73.7% | 0.29 | 0.05 | 1.5x | 61 | 49% |
| ROC 모멘텀 n=57, threshold=-0.01 |
3.5% | -66.9% | 0.28 | 0.05 | 1.5x | 103 | 51% |
| MACD fast=16, slow=37, signal=14 |
0.5% | -75.6% | 0.23 | 0.01 | 1.1x | 156 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.2% | -76.6% | 0.15 | -0.03 | 0.8x | 96 | 52% |
| Buy and hold | -2.0% | -82.9% | 0.29 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 55-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 55-day middle average