Trend-Following Backtester · Guide · backtest 한국어

equity · US

Encompass Health Corporation backtest

10 trend-following strategies were compared on the full daily history of Encompass Health Corporation. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.1%, MDD -50.0%).

Data 1986-09-24 ~ 2026-07-31daily bars 10,039 (39.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 8.5%, drawdown -99.7%).

Sharpe leader (same as main): Supertrend — CAGR 14.8%, MDD -71.8%, Sharpe 0.54, 59% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 10.1%, MDD -50.0%, exposure 23%).

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
Supertrend
period=7, mult=3.8
14.8%-71.8%0.540.21241.4x19759%
Donchian 채널 돌파
entryN=31, exitN=76
14.0%-76.4%0.510.18187.8x8574%
SMA 크로스오버
fast=30, slow=45
13.1%-60.4%0.500.22134.5x23357%
볼린저 밴드 돌파
n=51, k=2.7
10.1%-50.0%0.450.2046.6x8223%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=20, mult=4
6.6%-46.4%0.440.1412.8x8423%
EMA 크로스오버
fast=27, slow=63
8.5%-73.1%0.430.1226.2x13360%
ADX / DI 방향성
period=37, threshold=21
6.0%-39.3%0.420.1510.2x7418%
ROC 모멘텀
n=44, threshold=-0.05
9.8%-73.9%0.420.1340.8x51770%
Parabolic SAR
step=0.005, maxStep=0.22
6.4%-79.0%0.340.0812.0x32757%
MACD
fast=21, slow=38, signal=17
-0.9%-98.7%0.30-0.010.7x44550%
Buy and hold8.5%-99.7%0.510.0926.1x1100%
0.1 1x 10x 100x 1987 1992 1997 2002 2007 2012 2017 2022 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 1987 1992 1997 2002 2007 2012 2017 2022 Buy and holdSupertrend
Supertrend maximum drawdown -71.8% (2001-09-05 → 2003-05-20), recovered after 670 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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

Read next