Trend-Following Backtester · Guide · backtest 한국어
equity · US
Elevance Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Elevance Health, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -67.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -56.2%, Sharpe 0.49, 64% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=280 |
8.5% | -56.2% | 0.49 | 0.15 | 7.5x | 31 | 64% |
| Donchian 채널 돌파 entryN=11, exitN=66 |
8.1% | -46.9% | 0.43 | 0.17 | 6.8x | 75 | 87% |
| EMA 크로스오버 fast=102, slow=213 |
6.9% | -57.4% | 0.41 | 0.12 | 5.2x | 23 | 70% |
| ADX / DI 방향성 period=31, threshold=20 |
3.3% | -23.7% | 0.35 | 0.14 | 2.2x | 64 | 19% |
| ROC 모멘텀 n=160, threshold=0.04 |
3.9% | -56.6% | 0.29 | 0.07 | 2.6x | 165 | 58% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
1.5% | -17.1% | 0.28 | 0.09 | 1.5x | 10 | 7% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=24, mult=4 |
1.7% | -37.9% | 0.23 | 0.04 | 1.5x | 44 | 16% |
| Supertrend period=9, mult=4.7 |
2.4% | -51.5% | 0.22 | 0.05 | 1.8x | 90 | 56% |
| MACD fast=25, slow=41, signal=35 |
1.1% | -51.1% | 0.15 | 0.02 | 1.3x | 224 | 49% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-1.8% | -60.2% | 0.02 | -0.03 | 0.6x | 432 | 56% |
| Buy and hold | 12.5% | -67.2% | 0.54 | 0.19 | 18.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 280-day average
- Sell — Sell (to cash) when the 44-day average falls below the 280-day average