Trend-Following Backtester · Guide · backtest 한국어
equity · US
Humana Inc. backtest
10 trend-following strategies were compared on the full daily history of Humana Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -86.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -73.2%, Sharpe 0.37, 59% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=22, slow=116 |
6.5% | -73.2% | 0.37 | 0.09 | 16.3x | 105 | 59% |
| Donchian 채널 돌파 entryN=64, exitN=62 |
5.5% | -63.8% | 0.34 | 0.09 | 10.8x | 89 | 56% |
| SMA 크로스오버 fast=59, slow=117 |
5.6% | -79.8% | 0.34 | 0.07 | 11.5x | 93 | 59% |
| ROC 모멘텀 n=94, threshold=-0.04 |
4.5% | -85.6% | 0.30 | 0.05 | 7.0x | 345 | 66% |
| ADX / DI 방향성 period=25, threshold=30 |
2.1% | -34.2% | 0.28 | 0.06 | 2.5x | 41 | 6% |
| Supertrend period=19, mult=4.1 |
3.2% | -89.6% | 0.25 | 0.04 | 4.1x | 207 | 56% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=17, mult=4 |
0.8% | -25.0% | 0.21 | 0.03 | 1.4x | 16 | 2% |
| MACD fast=23, slow=46, signal=19 |
0.6% | -73.9% | 0.15 | 0.01 | 1.3x | 448 | 52% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
1.1% | -67.0% | 0.15 | 0.02 | 1.6x | 150 | 27% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.0% | -93.8% | 0.02 | -0.03 | 0.3x | 601 | 55% |
| Buy and hold | 8.6% | -86.4% | 0.42 | 0.10 | 39.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 22-day EMA crosses above the 116-day EMA
- Sell — Sell when the 22-day EMA falls below the 116-day EMA