Trend-Following Backtester · Guide · backtest 한국어
equity · US
Healthcare Services Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Healthcare Services Group, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.9%, MDD -49.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -84.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -49.5%, Sharpe 0.47, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 34.5%p (CAGR 9.9%, MDD -49.5%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=88, slow=180 |
9.9% | -49.5% | 0.47 | 0.20 | 55.7x | 27 | 62% |
| SMA 크로스오버 fast=46, slow=193 |
6.9% | -75.3% | 0.37 | 0.09 | 17.4x | 71 | 62% |
| Donchian 채널 돌파 entryN=13, exitN=77 |
3.2% | -93.3% | 0.28 | 0.03 | 3.8x | 103 | 88% |
| ADX / DI 방향성 period=30, threshold=26 |
2.5% | -48.3% | 0.23 | 0.05 | 2.9x | 68 | 15% |
| ROC 모멘텀 n=146, threshold=-0.06 |
1.9% | -86.9% | 0.22 | 0.02 | 2.2x | 307 | 72% |
| Supertrend period=11, mult=5 |
-0.5% | -85.7% | 0.13 | -0.01 | 0.8x | 118 | 61% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-0.9% | -49.8% | -0.03 | -0.02 | 0.7x | 54 | 10% |
| MACD fast=20, slow=24, signal=31 |
-6.8% | -98.5% | -0.07 | -0.07 | 0.0x | 506 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-7.0% | -99.4% | -0.09 | -0.07 | 0.0x | 670 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=10, mult=4 |
-1.8% | -74.7% | -0.13 | -0.02 | 0.5x | 52 | 8% |
| Buy and hold | 10.5% | -84.0% | 0.45 | 0.13 | 72.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 88-day EMA crosses above the 180-day EMA
- Sell — Sell when the 88-day EMA falls below the 180-day EMA