Trend-Following Backtester · Guide · backtest 한국어
equity · US
Viemed Healthcare, Inc. backtest
10 trend-following strategies were compared on the full daily history of Viemed Healthcare, Inc.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.4%, MDD -30.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.5%, drawdown -69.3%).
Sharpe leader (same as main): Supertrend — CAGR 28.4%, MDD -30.3%, Sharpe 0.92, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 28.4%, MDD -30.3%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=3.8 |
28.4% | -30.3% | 0.92 | 0.94 | 5.7x | 21 | 48% |
| ADX / DI 방향성 period=26, threshold=16 |
20.2% | -30.5% | 0.78 | 0.66 | 3.6x | 40 | 35% |
| SMA 크로스오버 fast=5, slow=59 |
20.4% | -35.7% | 0.74 | 0.57 | 3.6x | 41 | 49% |
| Donchian 채널 돌파 entryN=52, exitN=43 |
17.1% | -36.6% | 0.67 | 0.47 | 3.0x | 13 | 48% |
| EMA 크로스오버 fast=13, slow=70 |
16.1% | -39.5% | 0.64 | 0.41 | 2.8x | 21 | 48% |
| 볼린저 밴드 돌파 n=41, k=1.8 |
13.8% | -32.7% | 0.61 | 0.42 | 2.5x | 29 | 35% |
| ROC 모멘텀 n=52, threshold=0.03 |
12.5% | -35.8% | 0.54 | 0.35 | 2.3x | 71 | 47% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=22, mult=2.1 |
8.1% | -34.0% | 0.43 | 0.24 | 1.7x | 31 | 33% |
| Parabolic SAR step=0.015, maxStep=0.1 |
5.0% | -65.3% | 0.31 | 0.08 | 1.4x | 114 | 51% |
| MACD fast=24, slow=25, signal=14 |
-0.2% | -69.3% | 0.16 | -0.00 | 1.0x | 90 | 49% |
| Buy and hold | 7.5% | -69.3% | 0.39 | 0.11 | 1.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)