Trend-Following Backtester · Guide · backtest 한국어
equity · US
Teladoc Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Teladoc Health, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.3%, MDD -45.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.0%, drawdown -98.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.3%, MDD -45.6%, Sharpe 0.67, 32% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 27.3%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 18.3%, MDD -45.6%, exposure 32%).
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=187, threshold=0.19 |
18.3% | -45.6% | 0.67 | 0.40 | 6.5x | 30 | 32% |
| EMA 크로스오버 fast=67, slow=219 |
18.3% | -62.3% | 0.63 | 0.29 | 6.4x | 3 | 43% |
| Donchian 채널 돌파 entryN=72, exitN=74 |
13.8% | -65.1% | 0.53 | 0.21 | 4.2x | 11 | 39% |
| SMA 크로스오버 fast=33, slow=181 |
13.5% | -67.8% | 0.52 | 0.20 | 4.1x | 11 | 42% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=29, mult=3.6 |
7.6% | -68.2% | 0.39 | 0.11 | 2.3x | 18 | 24% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
5.4% | -72.4% | 0.33 | 0.08 | 1.8x | 30 | 27% |
| ADX / DI 방향성 period=33, threshold=12 |
1.3% | -77.1% | 0.22 | 0.02 | 1.2x | 64 | 33% |
| Supertrend period=18, mult=4.7 |
0.3% | -88.7% | 0.21 | 0.00 | 1.0x | 34 | 47% |
| MACD fast=24, slow=61, signal=18 |
-5.6% | -92.0% | 0.09 | -0.06 | 0.5x | 112 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-9.3% | -88.9% | 0.01 | -0.10 | 0.3x | 92 | 50% |
| Buy and hold | -9.0% | -98.5% | 0.17 | -0.09 | 0.4x | 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 187-day return is greater than 19%
- Sell — Sell when the 187-day return drops to 19% or below