Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cencora, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cencora, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -55.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -71.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -55.9%, Sharpe 0.59, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.3%, MDD -67.4%, exposure 89%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 12.1%, MDD -55.9%, exposure 70%).
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=44, slow=293 |
12.1% | -55.9% | 0.59 | 0.22 | 36.3x | 24 | 70% |
| Donchian 채널 돌파 entryN=21, exitN=129 |
13.3% | -67.4% | 0.58 | 0.20 | 50.0x | 41 | 89% |
| EMA 크로스오버 fast=56, slow=164 |
11.6% | -58.5% | 0.57 | 0.20 | 31.0x | 34 | 72% |
| ROC 모멘텀 n=121, threshold=-0.08 |
11.1% | -59.1% | 0.54 | 0.19 | 27.0x | 171 | 82% |
| MACD fast=19, slow=39, signal=16 |
9.6% | -46.4% | 0.53 | 0.21 | 17.5x | 343 | 52% |
| Supertrend period=16, mult=5 |
8.0% | -51.7% | 0.45 | 0.15 | 11.1x | 101 | 60% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
6.7% | -46.7% | 0.42 | 0.14 | 7.7x | 173 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=18, mult=1.8 |
5.3% | -62.4% | 0.36 | 0.09 | 5.1x | 203 | 47% |
| ADX / DI 방향성 period=35, threshold=30 |
1.2% | -10.6% | 0.32 | 0.11 | 1.4x | 12 | 5% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.1% | -60.6% | 0.29 | 0.07 | 3.5x | 269 | 57% |
| Buy and hold | 16.0% | -71.0% | 0.63 | 0.23 | 104.9x | 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 44-day average price crosses above the 293-day average
- Sell — Sell (to cash) when the 44-day average falls below the 293-day average