Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Bausch Health Companies Inc. backtest
10 trend-following strategies were compared on the full daily history of Bausch Health Companies Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.3%, MDD -45.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.1%, drawdown -98.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -58.3%, Sharpe 0.53, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 7.3%, MDD -45.5%, exposure 33%).
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=48, exitN=19 |
10.8% | -58.3% | 0.53 | 0.19 | 22.4x | 105 | 36% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=2.1 |
8.5% | -60.1% | 0.44 | 0.14 | 11.8x | 141 | 37% |
| 볼린저 밴드 돌파 n=50, k=2.1 |
7.3% | -45.5% | 0.41 | 0.16 | 8.5x | 119 | 33% |
| SMA 크로스오버 fast=29, slow=190 |
8.1% | -81.9% | 0.40 | 0.10 | 10.5x | 50 | 55% |
| EMA 크로스오버 fast=37, slow=190 |
7.5% | -85.3% | 0.39 | 0.09 | 9.0x | 44 | 55% |
| MACD fast=23, slow=47, signal=26 |
7.5% | -72.3% | 0.39 | 0.10 | 8.9x | 243 | 52% |
| Supertrend period=20, mult=3.8 |
7.1% | -71.0% | 0.37 | 0.10 | 8.1x | 153 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.9% | -88.7% | 0.34 | 0.07 | 5.6x | 245 | 52% |
| ADX / DI 방향성 period=17, threshold=20 |
4.9% | -57.1% | 0.31 | 0.09 | 4.3x | 270 | 32% |
| ROC 모멘텀 n=133, threshold=0.05 |
4.2% | -82.9% | 0.29 | 0.05 | 3.5x | 274 | 50% |
| Buy and hold | -0.1% | -98.4% | 0.27 | -0.00 | 1.0x | 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 48 days
- Sell — Sell when price breaks below the lowest low of the last 19 days