Trend-Following Backtester · Guide · backtest 한국어
equity · US
Centene Corporation backtest
10 trend-following strategies were compared on the full daily history of Centene Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -74.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -58.9%, Sharpe 0.48, 65% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=33, exitN=46 |
10.3% | -58.9% | 0.48 | 0.18 | 11.3x | 65 | 65% |
| ADX / DI 방향성 period=25, threshold=19 |
6.5% | -51.5% | 0.44 | 0.13 | 4.7x | 128 | 26% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
5.1% | -28.8% | 0.44 | 0.18 | 3.4x | 30 | 17% |
| MACD fast=34, slow=52, signal=22 |
6.5% | -61.4% | 0.37 | 0.11 | 4.7x | 190 | 52% |
| SMA 크로스오버 fast=25, slow=185 |
6.1% | -82.1% | 0.35 | 0.07 | 4.3x | 49 | 62% |
| ROC 모멘텀 n=44, threshold=-0.04 |
5.0% | -79.9% | 0.31 | 0.06 | 3.4x | 335 | 70% |
| EMA 크로스오버 fast=57, slow=287 |
4.8% | -82.0% | 0.31 | 0.06 | 3.2x | 35 | 66% |
| Supertrend period=22, mult=4.6 |
3.4% | -82.2% | 0.26 | 0.04 | 2.3x | 91 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=13, mult=1.6 |
2.7% | -76.4% | 0.23 | 0.04 | 1.9x | 179 | 46% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.0% | -83.7% | 0.12 | -0.01 | 0.8x | 341 | 54% |
| Buy and hold | 16.6% | -74.1% | 0.58 | 0.22 | 44.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 33 days
- Sell — Sell when price breaks below the lowest low of the last 46 days