Trend-Following Backtester · Guide · backtest 한국어
equity · US
HCA Healthcare, Inc. backtest
10 trend-following strategies were compared on the full daily history of HCA Healthcare, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.2%, MDD -31.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.1%, drawdown -54.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.2%, MDD -31.3%, Sharpe 0.76, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.2%, MDD -46.8%, exposure 86%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 23.6%p (CAGR 16.2%, MDD -31.3%, exposure 71%).
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=9, slow=178 |
16.2% | -31.3% | 0.76 | 0.52 | 10.1x | 28 | 71% |
| ROC 모멘텀 n=57, threshold=-0.09 |
18.2% | -46.8% | 0.75 | 0.39 | 13.1x | 55 | 86% |
| EMA 크로스오버 fast=17, slow=134 |
15.7% | -32.6% | 0.73 | 0.48 | 9.4x | 26 | 72% |
| Donchian 채널 돌파 entryN=56, exitN=72 |
15.0% | -48.4% | 0.68 | 0.31 | 8.6x | 20 | 74% |
| MACD fast=14, slow=50, signal=19 |
9.4% | -37.3% | 0.51 | 0.25 | 4.0x | 173 | 49% |
| 볼린저 밴드 돌파 n=24, k=2.8 |
4.1% | -19.9% | 0.44 | 0.21 | 1.9x | 50 | 19% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=3.3 |
2.5% | -16.2% | 0.38 | 0.15 | 1.5x | 26 | 11% |
| Supertrend period=19, mult=4.2 |
4.6% | -43.7% | 0.31 | 0.10 | 2.0x | 64 | 66% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.4% | -55.2% | 0.26 | 0.06 | 1.7x | 253 | 57% |
| ADX / DI 방향성 period=16, threshold=27 |
1.3% | -23.3% | 0.18 | 0.06 | 1.2x | 76 | 19% |
| Buy and hold | 18.1% | -54.9% | 0.67 | 0.33 | 12.9x | 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 9-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 9-day average falls below the 178-day average