Trend-Following Backtester · Guide · backtest 한국어
equity · US
IQVIA Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of IQVIA Holdings, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 14.7%, drawdown -51.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.7%, MDD -46.3%, Sharpe 0.68, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=18, threshold=-0.11 |
15.7% | -46.3% | 0.68 | 0.34 | 7.0x | 45 | 96% |
| Supertrend period=16, mult=2.8 |
10.0% | -37.5% | 0.58 | 0.27 | 3.5x | 87 | 57% |
| Donchian 채널 돌파 entryN=12, exitN=35 |
10.5% | -38.7% | 0.55 | 0.27 | 3.8x | 59 | 76% |
| EMA 크로스오버 fast=10, slow=137 |
7.0% | -50.4% | 0.43 | 0.14 | 2.5x | 43 | 67% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=1.2 |
6.1% | -26.1% | 0.42 | 0.23 | 2.2x | 107 | 51% |
| SMA 크로스오버 fast=26, slow=180 |
6.8% | -54.2% | 0.42 | 0.13 | 2.4x | 29 | 66% |
| MACD fast=18, slow=50, signal=18 |
3.8% | -33.9% | 0.29 | 0.11 | 1.6x | 135 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.4% | -43.4% | 0.27 | 0.08 | 1.6x | 231 | 55% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
1.7% | -46.4% | 0.18 | 0.04 | 1.3x | 87 | 44% |
| ADX / DI 방향성 period=26, threshold=29 |
0.4% | -6.8% | 0.13 | 0.06 | 1.1x | 10 | 4% |
| Buy and hold | 14.7% | -51.5% | 0.61 | 0.28 | 6.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 18-day return is greater than -11%
- Sell — Sell when the 18-day return drops to -11% or below