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.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.0%, MDD -38.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.3%, drawdown -83.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -51.5%, Sharpe 0.41, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 7.0%, MDD -38.5%, exposure 30%).
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 |
8.8% | -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 | 30% |
| Donchian 채널 돌파 entryN=93, exitN=77 |
3.8% | -58.5% | 0.29 | 0.07 | 1.4x | 9 | 49% |
| EMA 크로스오버 fast=59, slow=74 |
3.6% | -68.1% | 0.29 | 0.05 | 1.3x | 16 | 56% |
| ROC 모멘텀 n=153, threshold=0.01 |
2.6% | -70.8% | 0.26 | 0.04 | 1.2x | 63 | 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 |
-5.9% | -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 |
-12.2% | -88.6% | -0.16 | -0.14 | 0.3x | 204 | 52% |
| MACD fast=14, slow=35, signal=9 |
-14.2% | -88.3% | -0.23 | -0.16 | 0.3x | 149 | 51% |
| Buy and hold | 1.3% | -83.8% | 0.29 | 0.02 | 1.1x | 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