Trend-Following Backtester · Guide · backtest 한국어
equity · US
Labcorp Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Labcorp Holdings Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -73.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -96.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -73.8%, Sharpe 0.43, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 8.0%, MDD -73.8%, exposure 62%).
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=46, slow=216 |
8.0% | -73.8% | 0.43 | 0.11 | 16.3x | 47 | 62% |
| EMA 크로스오버 fast=24, slow=235 |
5.8% | -75.9% | 0.36 | 0.08 | 7.7x | 63 | 63% |
| Donchian 채널 돌파 entryN=24, exitN=34 |
5.7% | -85.2% | 0.34 | 0.07 | 7.5x | 131 | 67% |
| Supertrend period=15, mult=4.2 |
5.2% | -76.6% | 0.33 | 0.07 | 6.4x | 133 | 59% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
1.5% | -30.4% | 0.21 | 0.05 | 1.7x | 22 | 7% |
| ROC 모멘텀 n=141, threshold=0.09 |
1.6% | -78.3% | 0.18 | 0.02 | 1.8x | 315 | 40% |
| MACD fast=18, slow=29, signal=19 |
0.7% | -79.6% | 0.16 | 0.01 | 1.3x | 415 | 53% |
| ADX / DI 방향성 period=37, threshold=34 |
0.6% | -21.7% | 0.15 | 0.03 | 1.2x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=11, mult=4 |
1.0% | -61.0% | 0.14 | 0.02 | 1.5x | 87 | 26% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.5% | -86.1% | 0.05 | -0.03 | 0.4x | 619 | 54% |
| Buy and hold | 7.2% | -96.2% | 0.38 | 0.07 | 12.5x | 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 46-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 46-day average falls below the 216-day average