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 46.8%, drawdown -28.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 41.4%, MDD -34.5%, Sharpe 1.19, 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 |
41.4% | -34.5% | 1.19 | 1.20 | 7.8x | 7 | 92% |
| EMA 크로스오버 fast=49, slow=51 |
37.8% | -31.8% | 1.17 | 1.19 | 6.7x | 11 | 76% |
| ROC 모멘텀 n=104, threshold=-0.08 |
37.2% | -25.9% | 1.13 | 1.44 | 6.6x | 17 | 84% |
| SMA 크로스오버 fast=33, slow=93 |
33.3% | -21.8% | 1.12 | 1.53 | 5.5x | 17 | 68% |
| Supertrend period=9, mult=4.6 |
34.0% | -33.7% | 1.06 | 1.01 | 5.7x | 13 | 81% |
| ADX / DI 방향성 period=35, threshold=12 |
19.6% | -29.5% | 0.79 | 0.66 | 2.9x | 41 | 56% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
14.5% | -35.7% | 0.73 | 0.41 | 2.2x | 14 | 31% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1.8 |
13.9% | -43.4% | 0.62 | 0.32 | 2.2x | 37 | 51% |
| Parabolic SAR step=0.025, maxStep=0.22 |
11.3% | -29.8% | 0.52 | 0.38 | 1.9x | 147 | 57% |
| MACD fast=27, slow=42, signal=16 |
7.6% | -42.7% | 0.41 | 0.18 | 1.5x | 66 | 51% |
| Buy and hold | 46.8% | -28.4% | 1.24 | 1.65 | 9.8x | 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