Trend-Following Backtester · Guide · backtest 한국어
equity · US
National Health Investors, Inc. backtest
10 trend-following strategies were compared on the full daily history of National Health Investors, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -53.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.9%, drawdown -88.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -53.2%, Sharpe 0.38, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 6.0%, MDD -53.2%, exposure 81%).
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=65, exitN=199 |
6.0% | -53.2% | 0.38 | 0.11 | 7.6x | 22 | 81% |
| SMA 크로스오버 fast=40, slow=186 |
2.8% | -72.1% | 0.24 | 0.04 | 2.6x | 58 | 59% |
| EMA 크로스오버 fast=37, slow=163 |
2.1% | -67.0% | 0.21 | 0.03 | 2.1x | 66 | 62% |
| ADX / DI 방향성 period=24, threshold=36 |
0.3% | -3.8% | 0.18 | 0.08 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=128, threshold=-0.03 |
1.4% | -59.5% | 0.17 | 0.02 | 1.6x | 250 | 68% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=4 |
0.1% | -2.0% | 0.17 | 0.05 | 1.0x | 2 | 0% |
| Supertrend period=29, mult=5 |
-0.3% | -66.1% | 0.09 | -0.01 | 0.9x | 115 | 60% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
0.1% | -30.4% | 0.04 | 0.00 | 1.0x | 12 | 2% |
| MACD fast=15, slow=22, signal=17 |
-1.4% | -82.4% | 0.03 | -0.02 | 0.6x | 492 | 51% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-1.9% | -70.1% | 0.01 | -0.03 | 0.5x | 482 | 53% |
| Buy and hold | 3.9% | -88.4% | 0.28 | 0.04 | 3.7x | 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 65 days
- Sell — Sell when price breaks below the lowest low of the last 199 days