Trend-Following Backtester · Guide · backtest 한국어
equity · US
Addus HomeCare Corporation backtest
10 trend-following strategies were compared on the full daily history of Addus HomeCare Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.6%, MDD -53.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.8%, drawdown -70.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.6%, MDD -53.4%, Sharpe 0.71, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 19.6%, MDD -53.4%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=141 |
19.6% | -53.4% | 0.71 | 0.37 | 20.0x | 22 | 58% |
| Donchian 채널 돌파 entryN=56, exitN=35 |
14.7% | -46.5% | 0.62 | 0.32 | 10.0x | 35 | 52% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
11.6% | -46.8% | 0.60 | 0.25 | 6.3x | 51 | 33% |
| ROC 모멘텀 n=123, threshold=0.12 |
12.2% | -46.8% | 0.57 | 0.26 | 6.8x | 122 | 42% |
| EMA 크로스오버 fast=27, slow=66 |
12.2% | -56.4% | 0.53 | 0.22 | 6.9x | 45 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=16, mult=3.9 |
7.7% | -40.5% | 0.53 | 0.19 | 3.5x | 23 | 17% |
| Supertrend period=10, mult=5 |
11.7% | -48.7% | 0.51 | 0.24 | 6.4x | 43 | 60% |
| ADX / DI 방향성 period=35, threshold=33 |
0.7% | -8.7% | 0.20 | 0.08 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-0.2% | -68.3% | 0.16 | -0.00 | 1.0x | 405 | 54% |
| MACD fast=16, slow=54, signal=17 |
-1.7% | -65.7% | 0.11 | -0.03 | 0.8x | 189 | 51% |
| Buy and hold | 16.8% | -70.4% | 0.58 | 0.24 | 13.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 58-day average falls below the 141-day average