Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chemed Corp backtest
10 trend-following strategies were compared on the full daily history of Chemed Corp. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -83.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -63.5%, Sharpe 0.39, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=13, threshold=-0.12 |
7.1% | -63.5% | 0.39 | 0.11 | 39.4x | 169 | 97% |
| EMA 크로스오버 fast=73, slow=283 |
5.4% | -61.9% | 0.35 | 0.09 | 16.3x | 55 | 70% |
| Donchian 채널 돌파 entryN=1, exitN=102 |
5.4% | -67.2% | 0.33 | 0.08 | 16.1x | 205 | 95% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
2.7% | -35.8% | 0.29 | 0.07 | 4.0x | 138 | 16% |
| SMA 크로스오버 fast=52, slow=196 |
2.8% | -77.8% | 0.24 | 0.04 | 4.4x | 95 | 63% |
| Supertrend period=27, mult=4.1 |
2.2% | -65.6% | 0.21 | 0.03 | 3.2x | 239 | 59% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.4% | -90.8% | 0.08 | -0.00 | 0.8x | 450 | 55% |
| MACD fast=18, slow=53, signal=14 |
-0.5% | -80.4% | 0.08 | -0.01 | 0.8x | 620 | 51% |
| ADX / DI 방향성 period=18, threshold=15 |
-0.2% | -78.8% | 0.07 | -0.00 | 0.9x | 712 | 44% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=21, mult=2.8 |
-0.1% | -64.6% | 0.06 | -0.00 | 1.0x | 215 | 28% |
| Buy and hold | 7.9% | -83.8% | 0.40 | 0.09 | 57.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than -12%
- Sell — Sell when the 13-day return drops to -12% or below