Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quest Diagnostics Incorporated backtest
10 trend-following strategies were compared on the full daily history of Quest Diagnostics Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -49.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -46.9%, Sharpe 0.48, 87% exposure.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=56, threshold=-0.09 |
9.5% | -46.9% | 0.48 | 0.20 | 14.8x | 171 | 87% |
| SMA 크로스오버 fast=59, slow=137 |
7.4% | -47.5% | 0.42 | 0.16 | 8.2x | 53 | 66% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
3.8% | -26.5% | 0.41 | 0.14 | 3.0x | 16 | 7% |
| Parabolic SAR step=0.01, maxStep=0.02 |
5.3% | -52.6% | 0.35 | 0.10 | 4.7x | 181 | 60% |
| Donchian 채널 돌파 entryN=48, exitN=65 |
5.2% | -58.4% | 0.34 | 0.09 | 4.5x | 59 | 71% |
| Supertrend period=8, mult=5 |
4.9% | -69.3% | 0.33 | 0.07 | 4.1x | 99 | 62% |
| MACD fast=16, slow=73, signal=19 |
4.8% | -47.0% | 0.33 | 0.10 | 4.0x | 305 | 52% |
| EMA 크로스오버 fast=25, slow=197 |
4.6% | -68.8% | 0.31 | 0.07 | 3.8x | 61 | 68% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.7 |
3.5% | -61.2% | 0.30 | 0.06 | 2.7x | 81 | 29% |
| ADX / DI 방향성 period=28, threshold=9 |
2.6% | -73.6% | 0.23 | 0.03 | 2.1x | 373 | 57% |
| Buy and hold | 15.2% | -49.5% | 0.63 | 0.31 | 66.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 56-day return is greater than -9%
- Sell — Sell when the 56-day return drops to -9% or below