Trend-Following Backtester · Guide · backtest 한국어

equity · US

Quest Diagnostics Incorporated backtest

10 trend-following strategies were compared on the full daily history of Quest Diagnostics Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 1996-12-17 ~ 2026-07-31daily bars 7,451 (29.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 15.2%, drawdown -49.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -46.9%, Sharpe 0.48, 87% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=56, threshold=-0.09
9.5%-46.9%0.480.2014.8x17187%
SMA 크로스오버
fast=59, slow=137
7.4%-47.5%0.420.168.2x5366%
볼린저 밴드 돌파
n=52, k=3.5
3.8%-26.5%0.410.143.0x167%
Parabolic SAR
step=0.01, maxStep=0.02
5.3%-52.6%0.350.104.7x18160%
Donchian 채널 돌파
entryN=48, exitN=65
5.2%-58.4%0.340.094.5x5971%
Supertrend
period=8, mult=5
4.9%-69.3%0.330.074.1x9962%
MACD
fast=16, slow=73, signal=19
4.8%-47.0%0.330.104.0x30552%
EMA 크로스오버
fast=25, slow=197
4.6%-68.8%0.310.073.8x6168%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=19, mult=3.7
3.5%-61.2%0.300.062.7x8129%
ADX / DI 방향성
period=28, threshold=9
2.6%-73.6%0.230.032.1x37357%
Buy and hold15.2%-49.5%0.630.3166.2x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -12% -25% -37% -49% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -46.9% (2006-08-31 → 2010-09-13), recovered after 4,898 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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