Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Ramsay Health Care Limited backtest
10 trend-following strategies were compared on the full daily history of Ramsay Health Care Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 11.0%, drawdown -67.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.1%, MDD -67.3%, Sharpe 0.62, 58% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=72, slow=202 |
11.1% | -67.3% | 0.62 | 0.16 | 20.8x | 25 | 58% |
| SMA 크로스오버 fast=30, slow=345 |
11.1% | -61.3% | 0.61 | 0.18 | 20.8x | 27 | 59% |
| Donchian 채널 돌파 entryN=51, exitN=65 |
10.9% | -67.6% | 0.59 | 0.16 | 20.0x | 47 | 66% |
| Supertrend period=24, mult=5 |
7.5% | -50.3% | 0.45 | 0.15 | 8.2x | 79 | 64% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=12, mult=3.6 |
5.7% | -45.5% | 0.43 | 0.13 | 5.0x | 71 | 34% |
| ADX / DI 방향성 period=51, threshold=15 |
3.6% | -39.0% | 0.33 | 0.09 | 2.8x | 78 | 21% |
| ROC 모멘텀 n=144, threshold=0.1 |
4.4% | -69.4% | 0.33 | 0.06 | 3.4x | 217 | 42% |
| 볼린저 밴드 돌파 n=64, k=1.8 |
4.2% | -56.6% | 0.32 | 0.07 | 3.3x | 121 | 42% |
| MACD fast=19, slow=84, signal=32 |
2.1% | -72.1% | 0.20 | 0.03 | 1.8x | 221 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.3% | -78.3% | -0.01 | -0.03 | 0.5x | 233 | 54% |
| Buy and hold | 11.0% | -67.7% | 0.50 | 0.16 | 20.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 72-day EMA crosses above the 202-day EMA
- Sell — Sell when the 72-day EMA falls below the 202-day EMA