Trend-Following Backtester · Guide · backtest 한국어
equity · US
Evolent Health, Inc backtest
10 trend-following strategies were compared on the full daily history of Evolent Health, Inc. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.8%, MDD -29.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.0%, drawdown -94.5%).
Sharpe leader (same as main): MACD — CAGR 17.8%, MDD -75.0%, Sharpe 0.59, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 32.8%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 6.8%, MDD -29.9%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=72, signal=22 |
17.8% | -75.0% | 0.59 | 0.24 | 6.2x | 70 | 54% |
| Supertrend period=21, mult=3.8 |
14.4% | -60.2% | 0.54 | 0.24 | 4.5x | 46 | 48% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=32, mult=2.8 |
6.8% | -29.9% | 0.45 | 0.23 | 2.1x | 24 | 11% |
| Donchian 채널 돌파 entryN=59, exitN=32 |
9.7% | -56.1% | 0.45 | 0.17 | 2.8x | 30 | 41% |
| 볼린저 밴드 돌파 n=54, k=0.8 |
8.8% | -64.1% | 0.42 | 0.14 | 2.6x | 64 | 42% |
| ROC 모멘텀 n=70, threshold=0.07 |
5.5% | -77.6% | 0.33 | 0.07 | 1.8x | 101 | 43% |
| EMA 크로스오버 fast=12, slow=22 |
4.2% | -73.5% | 0.31 | 0.06 | 1.6x | 96 | 50% |
| ADX / DI 방향성 period=27, threshold=22 |
3.5% | -38.5% | 0.27 | 0.09 | 1.5x | 36 | 14% |
| SMA 크로스오버 fast=30, slow=77 |
2.2% | -73.8% | 0.26 | 0.03 | 1.3x | 29 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.9% | -76.2% | 0.25 | 0.02 | 1.2x | 96 | 49% |
| Buy and hold | -15.0% | -94.5% | 0.07 | -0.16 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/72) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line