Trend-Following Backtester · Guide · backtest 한국어
equity · US
AdaptHealth Corp. backtest
10 trend-following strategies were compared on the full daily history of AdaptHealth Corp.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -37.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.5%, drawdown -87.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -51.5%, Sharpe 0.41, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 0.2%, MDD -37.7%, exposure 19%).
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=147 |
8.7% | -51.5% | 0.41 | 0.17 | 2.0x | 12 | 52% |
| ADX / DI 방향성 period=26, threshold=20 |
7.0% | -38.5% | 0.41 | 0.18 | 1.7x | 34 | 29% |
| EMA 크로스오버 fast=59, slow=74 |
3.6% | -68.1% | 0.29 | 0.05 | 1.3x | 16 | 55% |
| Donchian 채널 돌파 entryN=93, exitN=77 |
-2.1% | -68.7% | 0.15 | -0.03 | 0.8x | 10 | 49% |
| ROC 모멘텀 n=153, threshold=0.01 |
-3.3% | -79.0% | 0.13 | -0.04 | 0.8x | 64 | 50% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
0.2% | -37.7% | 0.11 | 0.01 | 1.0x | 36 | 19% |
| Supertrend period=29, mult=5 |
-5.8% | -74.9% | 0.03 | -0.08 | 0.6x | 26 | 53% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=2.3 |
-2.9% | -42.5% | -0.04 | -0.07 | 0.8x | 40 | 21% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-12.5% | -88.6% | -0.17 | -0.14 | 0.3x | 205 | 51% |
| MACD fast=14, slow=35, signal=9 |
-19.3% | -90.2% | -0.35 | -0.21 | 0.2x | 151 | 51% |
| Buy and hold | -6.5% | -87.0% | 0.16 | -0.07 | 0.6x | 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 147-day average
- Sell — Sell (to cash) when the 58-day average falls below the 147-day average