Trend-Following Backtester · Guide · backtest 한국어
equity · US
Encompass Health Corporation backtest
10 trend-following strategies were compared on the full daily history of Encompass Health Corporation. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.0%, MDD -50.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.7%, drawdown -99.7%).
Sharpe leader (same as main): Supertrend — CAGR 15.0%, MDD -71.8%, Sharpe 0.54, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 10.0%, MDD -50.0%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=3.8 |
15.0% | -71.8% | 0.54 | 0.21 | 261.3x | 197 | 59% |
| Donchian 채널 돌파 entryN=31, exitN=76 |
14.2% | -76.4% | 0.51 | 0.19 | 203.3x | 85 | 74% |
| SMA 크로스오버 fast=30, slow=45 |
13.3% | -60.4% | 0.50 | 0.22 | 145.5x | 233 | 57% |
| 볼린저 밴드 돌파 n=51, k=2.7 |
10.0% | -50.0% | 0.45 | 0.20 | 44.7x | 83 | 23% |
| EMA 크로스오버 fast=27, slow=63 |
8.7% | -73.1% | 0.44 | 0.12 | 28.4x | 133 | 60% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=4 |
6.5% | -46.4% | 0.43 | 0.14 | 12.2x | 85 | 23% |
| ROC 모멘텀 n=44, threshold=-0.05 |
10.0% | -73.9% | 0.42 | 0.13 | 44.2x | 517 | 70% |
| ADX / DI 방향성 period=37, threshold=21 |
6.0% | -39.3% | 0.42 | 0.15 | 10.2x | 74 | 18% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.6% | -79.0% | 0.34 | 0.08 | 13.0x | 327 | 57% |
| MACD fast=21, slow=38, signal=17 |
-0.7% | -98.7% | 0.30 | -0.01 | 0.8x | 446 | 50% |
| Buy and hold | 8.7% | -99.7% | 0.51 | 0.09 | 28.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)