Trend-Following Backtester · Guide · backtest 한국어
equity · US
DaVita Inc. backtest
10 trend-following strategies were compared on the full daily history of DaVita Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -47.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -92.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.4%, MDD -47.5%, Sharpe 0.55, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 45.5%p (CAGR 11.4%, MDD -47.5%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=71 |
11.4% | -47.5% | 0.55 | 0.24 | 27.5x | 63 | 63% |
| SMA 크로스오버 fast=14, slow=160 |
10.8% | -42.8% | 0.53 | 0.25 | 23.6x | 63 | 62% |
| Donchian 채널 돌파 entryN=73, exitN=96 |
9.7% | -50.6% | 0.48 | 0.19 | 17.2x | 45 | 65% |
| ROC 모멘텀 n=106, threshold=-0.02 |
6.9% | -56.2% | 0.39 | 0.12 | 7.8x | 217 | 65% |
| 볼린저 밴드 돌파 n=60, k=3.4 |
4.2% | -32.1% | 0.37 | 0.13 | 3.5x | 36 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=4 |
4.7% | -47.6% | 0.34 | 0.10 | 4.1x | 84 | 31% |
| Supertrend period=24, mult=3.8 |
4.9% | -81.1% | 0.31 | 0.06 | 4.3x | 158 | 60% |
| ADX / DI 방향성 period=31, threshold=22 |
3.2% | -40.0% | 0.30 | 0.08 | 2.7x | 84 | 18% |
| MACD fast=23, slow=51, signal=24 |
4.3% | -65.6% | 0.29 | 0.07 | 3.7x | 270 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.9% | -70.7% | 0.28 | 0.06 | 3.3x | 264 | 55% |
| Buy and hold | 13.0% | -92.9% | 0.51 | 0.14 | 43.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 71-day EMA
- Sell — Sell when the 54-day EMA falls below the 71-day EMA