Trend-Following Backtester · Guide · backtest 한국어
equity · US
Universal Display Corporation backtest
10 trend-following strategies were compared on the full daily history of Universal Display Corporation. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -85.5%).
Sharpe leader (same as main): Supertrend — CAGR 11.4%, MDD -75.1%, Sharpe 0.46, 49% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=2.2 |
11.4% | -75.1% | 0.46 | 0.15 | 26.4x | 302 | 49% |
| MACD fast=18, slow=34, signal=18 |
9.4% | -85.0% | 0.42 | 0.11 | 15.4x | 357 | 51% |
| Parabolic SAR step=0.015, maxStep=0.34 |
9.0% | -79.9% | 0.41 | 0.11 | 13.9x | 510 | 50% |
| Donchian 채널 돌파 entryN=10, exitN=62 |
5.1% | -86.7% | 0.36 | 0.06 | 4.5x | 125 | 81% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
6.4% | -54.8% | 0.35 | 0.12 | 6.5x | 48 | 15% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=19, mult=1.5 |
4.6% | -78.3% | 0.30 | 0.06 | 4.0x | 272 | 29% |
| EMA 크로스오버 fast=36, slow=134 |
2.8% | -89.0% | 0.27 | 0.03 | 2.3x | 66 | 52% |
| SMA 크로스오버 fast=19, slow=193 |
2.7% | -81.9% | 0.27 | 0.03 | 2.2x | 76 | 51% |
| ROC 모멘텀 n=190, threshold=0.02 |
2.5% | -87.5% | 0.27 | 0.03 | 2.1x | 244 | 50% |
| ADX / DI 방향성 period=15, threshold=11 |
1.2% | -84.8% | 0.24 | 0.01 | 1.4x | 587 | 50% |
| Buy and hold | 9.6% | -85.5% | 0.46 | 0.11 | 16.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)