Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HealthCare Global Enterprises Ltd. backtest
10 trend-following strategies were compared on the full daily history of HealthCare Global Enterprises Ltd.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.7%, MDD -23.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.6%, drawdown -80.4%).
Sharpe leader (same as main): Supertrend — CAGR 21.7%, MDD -23.8%, Sharpe 0.89, 73% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 21.7%, MDD -23.8%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.6 |
21.7% | -23.8% | 0.89 | 0.91 | 7.6x | 9 | 73% |
| EMA 크로스오버 fast=78, slow=109 |
17.9% | -27.7% | 0.77 | 0.65 | 5.5x | 7 | 71% |
| SMA 크로스오버 fast=42, slow=191 |
17.0% | -27.7% | 0.75 | 0.61 | 5.0x | 9 | 66% |
| Donchian 채널 돌파 entryN=51, exitN=66 |
16.4% | -31.9% | 0.73 | 0.51 | 4.8x | 13 | 72% |
| ROC 모멘텀 n=87, threshold=-0.03 |
14.7% | -27.9% | 0.67 | 0.53 | 4.1x | 71 | 72% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
6.0% | -16.0% | 0.58 | 0.38 | 1.8x | 18 | 11% |
| ADX / DI 방향성 period=49, threshold=17 |
5.5% | -37.4% | 0.36 | 0.15 | 1.7x | 18 | 36% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=14, mult=1.1 |
4.6% | -39.4% | 0.32 | 0.12 | 1.6x | 71 | 42% |
| Parabolic SAR step=0.01, maxStep=0.12 |
2.6% | -50.1% | 0.23 | 0.05 | 1.3x | 119 | 53% |
| MACD fast=18, slow=48, signal=19 |
-0.9% | -55.2% | 0.08 | -0.02 | 0.9x | 113 | 47% |
| Buy and hold | 13.6% | -80.4% | 0.55 | 0.17 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)