Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ultra Clean Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ultra Clean Holdings, Inc.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.8%, MDD -54.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 11.3%, drawdown -95.2%).
Sharpe leader (same as main): Supertrend — CAGR 21.0%, MDD -56.4%, Sharpe 0.67, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 17.8%, MDD -54.7%, exposure 43%).
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=27, mult=4 |
21.0% | -56.4% | 0.67 | 0.37 | 71.4x | 82 | 52% |
| SMA 크로스오버 fast=28, slow=196 |
20.8% | -66.9% | 0.65 | 0.31 | 68.4x | 31 | 52% |
| Donchian 채널 돌파 entryN=56, exitN=31 |
19.0% | -61.3% | 0.63 | 0.31 | 48.8x | 62 | 44% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=1.2 |
17.8% | -54.7% | 0.61 | 0.33 | 38.9x | 146 | 43% |
| EMA 크로스오버 fast=63, slow=101 |
18.3% | -68.4% | 0.60 | 0.27 | 42.4x | 37 | 53% |
| ROC 모멘텀 n=93, threshold=0.11 |
15.1% | -71.4% | 0.55 | 0.21 | 23.2x | 225 | 43% |
| ADX / DI 방향성 period=25, threshold=14 |
14.1% | -58.8% | 0.53 | 0.24 | 18.9x | 202 | 39% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
10.8% | -69.2% | 0.46 | 0.16 | 9.8x | 152 | 41% |
| Parabolic SAR step=0.015, maxStep=0.26 |
2.9% | -85.7% | 0.28 | 0.03 | 1.9x | 396 | 51% |
| MACD fast=22, slow=52, signal=18 |
-0.0% | -79.3% | 0.22 | -0.00 | 1.0x | 224 | 54% |
| Buy and hold | 11.3% | -95.2% | 0.48 | 0.12 | 11.1x | 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) — 27-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)