Trend-Following Backtester · Guide · backtest 한국어
equity · US
HealthEquity, Inc. backtest
10 trend-following strategies were compared on the full daily history of HealthEquity, Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 16.5%, MDD -37.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.6%, drawdown -60.7%).
Sharpe leader (same as main): MACD — CAGR 19.2%, MDD -37.4%, Sharpe 0.74, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 16.5%, MDD -37.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=50, signal=15 |
19.2% | -37.4% | 0.74 | 0.51 | 8.2x | 119 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
16.5% | -37.3% | 0.66 | 0.44 | 6.3x | 103 | 54% |
| Donchian 채널 돌파 entryN=6, exitN=56 |
14.6% | -54.6% | 0.54 | 0.27 | 5.1x | 43 | 89% |
| EMA 크로스오버 fast=9, slow=25 |
8.7% | -51.0% | 0.43 | 0.17 | 2.7x | 105 | 60% |
| 볼린저 밴드 돌파 n=48, k=1.3 |
7.7% | -43.2% | 0.41 | 0.18 | 2.4x | 77 | 48% |
| Supertrend period=27, mult=3.9 |
8.2% | -50.9% | 0.41 | 0.16 | 2.6x | 55 | 55% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=18, mult=1.7 |
5.7% | -46.1% | 0.35 | 0.12 | 1.9x | 73 | 44% |
| ROC 모멘텀 n=140, threshold=0.08 |
4.1% | -60.8% | 0.28 | 0.07 | 1.6x | 112 | 49% |
| SMA 크로스오버 fast=31, slow=57 |
3.1% | -65.7% | 0.25 | 0.05 | 1.4x | 55 | 59% |
| ADX / DI 방향성 period=7, threshold=48 |
1.2% | -31.1% | 0.16 | 0.04 | 1.2x | 62 | 8% |
| Buy and hold | 15.6% | -60.7% | 0.55 | 0.26 | 5.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/50) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line