Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Max Healthcare Institute Ltd backtest
10 trend-following strategies were compared on the full daily history of Max Healthcare Institute Ltd. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 44.7%, drawdown -28.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.5%, MDD -34.5%, Sharpe 1.15, 92% 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=17, exitN=71 |
39.5% | -34.5% | 1.15 | 1.14 | 7.4x | 7 | 92% |
| EMA 크로스오버 fast=49, slow=51 |
34.9% | -31.8% | 1.11 | 1.10 | 6.1x | 12 | 76% |
| ROC 모멘텀 n=104, threshold=-0.08 |
35.4% | -25.9% | 1.10 | 1.37 | 6.2x | 17 | 85% |
| SMA 크로스오버 fast=33, slow=93 |
31.6% | -24.8% | 1.08 | 1.28 | 5.2x | 17 | 69% |
| Supertrend period=9, mult=4.6 |
31.4% | -38.3% | 1.00 | 0.82 | 5.2x | 14 | 81% |
| ADX / DI 방향성 period=35, threshold=12 |
18.1% | -31.2% | 0.75 | 0.58 | 2.7x | 42 | 56% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
14.3% | -35.7% | 0.72 | 0.40 | 2.2x | 14 | 30% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1.8 |
13.2% | -44.0% | 0.60 | 0.30 | 2.1x | 38 | 50% |
| Parabolic SAR step=0.025, maxStep=0.22 |
11.1% | -29.8% | 0.52 | 0.37 | 1.9x | 149 | 56% |
| MACD fast=27, slow=42, signal=16 |
7.5% | -42.7% | 0.41 | 0.18 | 1.5x | 66 | 50% |
| Buy and hold | 44.7% | -28.4% | 1.20 | 1.57 | 9.3x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 71 days