Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tenet Healthcare Corporation backtest
10 trend-following strategies were compared on the full daily history of Tenet Healthcare Corporation. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -50.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.9%, drawdown -98.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -80.8%, Sharpe 0.45, 71% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 4.9%, MDD -50.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=48 |
10.2% | -80.8% | 0.45 | 0.13 | 91.4x | 155 | 71% |
| Supertrend period=4, mult=4.9 |
9.2% | -74.6% | 0.43 | 0.12 | 59.1x | 165 | 59% |
| 볼린저 밴드 돌파 n=23, k=3 |
4.9% | -50.3% | 0.38 | 0.10 | 9.1x | 111 | 12% |
| EMA 크로스오버 fast=10, slow=167 |
5.9% | -72.8% | 0.35 | 0.08 | 14.6x | 133 | 53% |
| ROC 모멘텀 n=93, threshold=-0.05 |
6.1% | -78.1% | 0.35 | 0.08 | 15.8x | 409 | 63% |
| SMA 크로스오버 fast=8, slow=116 |
5.4% | -84.4% | 0.33 | 0.06 | 11.4x | 179 | 55% |
| Parabolic SAR step=0.005, maxStep=0.04 |
5.4% | -79.6% | 0.32 | 0.07 | 11.6x | 333 | 55% |
| MACD fast=15, slow=56, signal=23 |
4.1% | -71.8% | 0.28 | 0.06 | 6.4x | 461 | 52% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=25, mult=2 |
2.1% | -86.8% | 0.20 | 0.02 | 2.6x | 323 | 32% |
| ADX / DI 방향성 period=26, threshold=25 |
1.5% | -52.5% | 0.18 | 0.03 | 2.0x | 107 | 12% |
| Buy and hold | 4.9% | -98.3% | 0.35 | 0.05 | 9.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 48 days