Trend-Following Backtester · Guide · backtest 한국어
equity · US
Community Health Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Community Health Systems, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -20.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -5.2%, drawdown -96.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -20.5%, Sharpe 0.31, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 76.1%p (CAGR 2.2%, MDD -20.5%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=38 |
2.2% | -20.5% | 0.31 | 0.11 | 1.8x | 14 | 2% |
| Donchian 채널 돌파 entryN=28, exitN=59 |
0.7% | -83.2% | 0.26 | 0.01 | 1.2x | 73 | 68% |
| SMA 크로스오버 fast=72, slow=103 |
1.9% | -82.5% | 0.26 | 0.02 | 1.6x | 76 | 52% |
| ROC 모멘텀 n=98, threshold=-0.02 |
-2.3% | -79.3% | 0.15 | -0.03 | 0.5x | 242 | 54% |
| 볼린저 밴드 돌파 n=24, k=1.5 |
-1.6% | -75.1% | 0.15 | -0.02 | 0.7x | 262 | 37% |
| Supertrend period=29, mult=1.9 |
-3.1% | -91.6% | 0.15 | -0.03 | 0.4x | 338 | 48% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-5.8% | -89.8% | 0.10 | -0.06 | 0.2x | 328 | 49% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=2.4 |
-1.6% | -78.7% | 0.10 | -0.02 | 0.7x | 130 | 22% |
| EMA 크로스오버 fast=37, slow=66 |
-6.1% | -89.5% | 0.06 | -0.07 | 0.2x | 77 | 49% |
| MACD fast=19, slow=28, signal=11 |
-8.5% | -93.9% | 0.05 | -0.09 | 0.1x | 356 | 54% |
| Buy and hold | -5.2% | -96.6% | 0.23 | -0.05 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)