Trend-Following Backtester · Guide · backtest 한국어
equity · US
McKesson Corporation backtest
10 trend-following strategies were compared on the full daily history of McKesson Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.1%, MDD -44.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.2%, drawdown -83.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.1%, MDD -44.7%, Sharpe 0.64, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 38.3%p (CAGR 12.1%, MDD -44.7%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=138 |
12.1% | -44.7% | 0.64 | 0.27 | 37.1x | 59 | 66% |
| SMA 크로스오버 fast=25, slow=162 |
11.4% | -52.1% | 0.61 | 0.22 | 30.3x | 56 | 65% |
| Supertrend period=18, mult=5 |
9.5% | -52.1% | 0.55 | 0.18 | 17.9x | 91 | 63% |
| Donchian 채널 돌파 entryN=17, exitN=76 |
10.5% | -75.8% | 0.52 | 0.14 | 23.6x | 79 | 84% |
| ADX / DI 방향성 period=60, threshold=14 |
6.1% | -33.2% | 0.50 | 0.18 | 6.5x | 62 | 28% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=26, mult=1.7 |
7.8% | -53.7% | 0.50 | 0.15 | 11.0x | 157 | 54% |
| ROC 모멘텀 n=95, threshold=0 |
8.5% | -54.9% | 0.50 | 0.15 | 13.2x | 256 | 65% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
3.8% | -39.5% | 0.43 | 0.10 | 3.3x | 38 | 17% |
| MACD fast=21, slow=38, signal=20 |
2.8% | -80.4% | 0.24 | 0.03 | 2.4x | 319 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.9% | -76.6% | 0.20 | 0.02 | 1.8x | 277 | 56% |
| Buy and hold | 13.2% | -83.0% | 0.56 | 0.16 | 51.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 138-day EMA
- Sell — Sell when the 19-day EMA falls below the 138-day EMA