Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cardinal Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cardinal Health, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.6%, drawdown -67.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -62.1%, Sharpe 0.49, 62% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.8%, MDD -58.5%, exposure 65%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=28, slow=214 |
8.7% | -62.1% | 0.49 | 0.14 | 36.4x | 75 | 62% |
| EMA 크로스오버 fast=119, slow=189 |
8.8% | -58.5% | 0.48 | 0.15 | 37.6x | 45 | 65% |
| Donchian 채널 돌파 entryN=81, exitN=78 |
6.5% | -70.6% | 0.40 | 0.09 | 15.2x | 63 | 59% |
| ADX / DI 방향성 period=33, threshold=18 |
3.2% | -44.2% | 0.30 | 0.07 | 3.9x | 166 | 27% |
| Supertrend period=23, mult=4.6 |
3.6% | -72.6% | 0.28 | 0.05 | 4.7x | 163 | 58% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=14, mult=4 |
2.4% | -61.1% | 0.23 | 0.04 | 2.7x | 107 | 34% |
| ROC 모멘텀 n=134, threshold=-0.03 |
2.5% | -95.3% | 0.22 | 0.03 | 2.8x | 361 | 68% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.5% | -93.6% | 0.18 | 0.02 | 1.9x | 364 | 56% |
| 볼린저 밴드 돌파 n=16, k=3 |
1.0% | -20.8% | 0.18 | 0.05 | 1.5x | 76 | 6% |
| MACD fast=18, slow=37, signal=20 |
-0.3% | -89.4% | 0.09 | -0.00 | 0.9x | 486 | 51% |
| Buy and hold | 12.6% | -67.6% | 0.54 | 0.19 | 166.0x | 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 28-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 28-day average falls below the 214-day average