Trend-Following Backtester · Guide · backtest 한국어
equity · US
CVS Health Corporation backtest
10 trend-following strategies were compared on the full daily history of CVS Health Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -58.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -58.4%, Sharpe 0.41, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 24.7%p (CAGR 6.8%, MDD -58.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=66, slow=214 |
6.8% | -58.4% | 0.41 | 0.12 | 34.1x | 59 | 62% |
| EMA 크로스오버 fast=54, slow=188 |
6.4% | -58.3% | 0.39 | 0.11 | 27.5x | 65 | 64% |
| Donchian 채널 돌파 entryN=12, exitN=74 |
6.3% | -69.5% | 0.37 | 0.09 | 26.6x | 169 | 84% |
| ROC 모멘텀 n=133, threshold=-0.11 |
5.9% | -74.8% | 0.35 | 0.08 | 21.3x | 281 | 79% |
| Supertrend period=26, mult=4.8 |
4.0% | -69.2% | 0.29 | 0.06 | 8.2x | 189 | 59% |
| 볼린저 밴드 돌파 n=73, k=1.8 |
2.6% | -49.8% | 0.23 | 0.05 | 3.9x | 197 | 40% |
| ADX / DI 방향성 period=34, threshold=32 |
0.7% | -14.8% | 0.23 | 0.04 | 1.4x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=3.6 |
2.0% | -48.7% | 0.21 | 0.04 | 2.8x | 163 | 28% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.8% | -92.7% | -0.08 | -0.04 | 0.1x | 472 | 54% |
| MACD fast=19, slow=53, signal=14 |
-4.1% | -96.2% | -0.10 | -0.04 | 0.1x | 650 | 52% |
| Buy and hold | 8.1% | -83.1% | 0.41 | 0.10 | 63.9x | 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 66-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 66-day average falls below the 214-day average