Trend-Following Backtester · Guide · backtest 한국어

equity · US

Henry Schein, Inc. backtest

10 trend-following strategies were compared on the full daily history of Henry Schein, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.0%, MDD -49.3%).

Data 1995-11-03 ~ 2026-07-31daily bars 7,734 (30.7 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 10.1%, drawdown -78.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.0%, MDD -49.3%, Sharpe 0.44, 93% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 29.2%p (CAGR 9.0%, MDD -49.3%, exposure 93%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=40, threshold=-0.13
9.0%-49.3%0.440.1814.0x14993%
Donchian 채널 돌파
entryN=17, exitN=60
7.5%-59.3%0.400.139.1x8381%
Supertrend
period=11, mult=4.8
6.1%-55.0%0.370.116.2x8962%
SMA 크로스오버
fast=58, slow=199
5.2%-64.0%0.340.084.7x4167%
EMA 크로스오버
fast=21, slow=219
4.2%-58.6%0.300.073.6x6167%
ADX / DI 방향성
period=34, threshold=24
1.5%-31.3%0.200.051.6x206%
Parabolic SAR
step=0.005, maxStep=0.32
-1.7%-76.2%0.04-0.020.6x28856%
볼린저 밴드 돌파
n=53, k=1.3
-2.2%-73.1%-0.01-0.030.5x22348%
MACD
fast=19, slow=38, signal=18
-3.0%-74.5%-0.03-0.040.4x37250%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=28, mult=1.2
-3.5%-79.4%-0.07-0.040.3x28550%
Buy and hold10.1%-78.5%0.460.1319.1x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -78% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -49.3% (2017-06-02 → 2020-05-13), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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