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 4.8%, MDD -50.3%).

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 4.8%, drawdown -98.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, 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 4.8%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=20, exitN=48
10.1%-80.8%0.450.1387.5x15571%
Supertrend
period=4, mult=4.9
9.1%-74.6%0.430.1256.6x16559%
볼린저 밴드 돌파
n=23, k=3
4.8%-50.3%0.370.108.7x11112%
EMA 크로스오버
fast=10, slow=167
5.8%-72.8%0.340.0814.0x13353%
ROC 모멘텀
n=93, threshold=-0.05
6.0%-78.1%0.340.0815.1x40963%
SMA 크로스오버
fast=8, slow=116
5.3%-84.4%0.320.0610.9x17955%
Parabolic SAR
step=0.005, maxStep=0.04
5.3%-79.6%0.320.0711.1x33354%
MACD
fast=15, slow=56, signal=23
4.0%-71.8%0.280.066.1x46152%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=25, mult=2
2.0%-86.8%0.200.022.5x32332%
ADX / DI 방향성
period=26, threshold=25
1.5%-52.5%0.180.032.0x10612%
Buy and hold4.8%-98.3%0.340.059.0x1100%
1x 10x 100x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -49% -74% -98% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -80.8% (2002-06-19 → 2007-11-07), recovered after 2,640 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next