Trend-Following Backtester · Guide · backtest 한국어

equity · US

Cardinal Health, Inc. backtest

10 trend-following strategies were compared on the full daily history of Cardinal Health, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.

Data 1983-08-04 ~ 2026-07-31daily bars 10,832 (43.0 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.6%, drawdown -67.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -62.1%, Sharpe 0.49, 62% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 8.8%, MDD -58.5%, exposure 65%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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
SMA 크로스오버
fast=28, slow=214
8.7%-62.1%0.490.1436.4x7562%
EMA 크로스오버
fast=119, slow=189
8.8%-58.5%0.480.1537.6x4565%
Donchian 채널 돌파
entryN=81, exitN=78
6.5%-70.6%0.400.0915.2x6359%
ADX / DI 방향성
period=33, threshold=18
3.2%-44.2%0.300.073.9x16627%
Supertrend
period=23, mult=4.6
3.6%-72.6%0.280.054.7x16358%
Keltner 채널 돌파
emaPeriod=74, atrPeriod=14, mult=4
2.4%-61.1%0.230.042.7x10734%
ROC 모멘텀
n=134, threshold=-0.03
2.5%-95.3%0.220.032.8x36168%
Parabolic SAR
step=0.005, maxStep=0.14
1.5%-93.6%0.180.021.9x36456%
볼린저 밴드 돌파
n=16, k=3
1.0%-20.8%0.180.051.5x766%
MACD
fast=18, slow=37, signal=20
-0.3%-89.4%0.09-0.000.9x48651%
Buy and hold12.6%-67.6%0.540.19166.0x1100%
1x 10x 100x 1984 1990 1996 2002 2008 2014 2020 2026 EMA 크로스오버SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -17% -34% -51% -68% 1984 1990 1996 2002 2008 2014 2020 2026 Buy and holdEMA 크로스오버SMA 크로스오버
SMA 크로스오버 maximum drawdown -62.1% (2015-04-23 → 2022-06-16), recovered after 3,843 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

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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