Trend-Following Backtester · Guide · backtest 한국어
equity · US
Molina Healthcare Inc backtest
10 trend-following strategies were compared on the full daily history of Molina Healthcare Inc. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -70.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -3.9%, Sharpe 0.39, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.4%, MDD -64.3%, exposure 61%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=3.5 |
0.9% | -3.9% | 0.39 | 0.23 | 1.2x | 4 | 1% |
| SMA 크로스오버 fast=50, slow=97 |
7.4% | -64.3% | 0.39 | 0.11 | 5.2x | 65 | 61% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=22, mult=4 |
1.2% | -9.5% | 0.37 | 0.13 | 1.3x | 8 | 2% |
| Donchian 채널 돌파 entryN=12, exitN=71 |
6.8% | -67.6% | 0.37 | 0.10 | 4.5x | 69 | 85% |
| ADX / DI 방향성 period=25, threshold=34 |
1.5% | -20.8% | 0.26 | 0.07 | 1.4x | 18 | 4% |
| EMA 크로스오버 fast=54, slow=114 |
2.7% | -77.2% | 0.25 | 0.03 | 1.8x | 43 | 63% |
| Supertrend period=26, mult=3.4 |
2.7% | -74.3% | 0.25 | 0.04 | 1.9x | 142 | 58% |
| ROC 모멘텀 n=106, threshold=0.01 |
-0.4% | -68.7% | 0.14 | -0.01 | 0.9x | 217 | 60% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-1.3% | -82.6% | 0.10 | -0.02 | 0.7x | 678 | 54% |
| MACD fast=13, slow=29, signal=18 |
-5.5% | -90.8% | -0.03 | -0.06 | 0.3x | 338 | 52% |
| Buy and hold | 12.3% | -70.8% | 0.49 | 0.17 | 14.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 15-day middle average