Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pediatrix Medical Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pediatrix Medical Group, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 5.3%, drawdown -92.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -87.6%, Sharpe 0.38, 57% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=60 |
7.1% | -87.6% | 0.38 | 0.08 | 8.4x | 55 | 57% |
| EMA 크로스오버 fast=7, slow=160 |
5.9% | -82.3% | 0.35 | 0.07 | 5.8x | 87 | 58% |
| SMA 크로스오버 fast=27, slow=50 |
5.1% | -85.2% | 0.32 | 0.06 | 4.6x | 161 | 57% |
| Supertrend period=27, mult=5 |
4.2% | -84.3% | 0.29 | 0.05 | 3.6x | 103 | 55% |
| ROC 모멘텀 n=133, threshold=-0.04 |
3.7% | -78.0% | 0.28 | 0.05 | 3.0x | 177 | 61% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
3.7% | -71.9% | 0.27 | 0.05 | 3.0x | 151 | 41% |
| MACD fast=9, slow=24, signal=16 |
2.0% | -81.5% | 0.23 | 0.02 | 1.8x | 526 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=1.4 |
2.2% | -69.3% | 0.21 | 0.03 | 2.0x | 247 | 45% |
| ADX / DI 방향성 period=20, threshold=22 |
2.0% | -67.3% | 0.20 | 0.03 | 1.8x | 196 | 25% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-0.8% | -91.8% | 0.14 | -0.01 | 0.8x | 537 | 54% |
| Buy and hold | 5.3% | -92.1% | 0.35 | 0.06 | 4.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 60 days