Trend-Following Backtester · Guide · backtest 한국어
equity · US
UFP Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of UFP Industries, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -80.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.8%, MDD -80.8%, Sharpe 0.45, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
10.8% | -80.8% | 0.45 | 0.13 | 28.8x | 7 | 100% |
| SMA 크로스오버 fast=18, slow=284 |
6.8% | -64.7% | 0.37 | 0.11 | 8.8x | 48 | 64% |
| EMA 크로스오버 fast=48, slow=211 |
5.9% | -65.5% | 0.34 | 0.09 | 6.5x | 40 | 65% |
| Donchian 채널 돌파 entryN=12, exitN=79 |
5.6% | -77.0% | 0.33 | 0.07 | 6.1x | 93 | 85% |
| Supertrend period=9, mult=3.8 |
3.9% | -63.6% | 0.28 | 0.06 | 3.5x | 131 | 57% |
| ADX / DI 방향성 period=33, threshold=32 |
0.8% | -19.1% | 0.16 | 0.04 | 1.3x | 4 | 3% |
| 볼린저 밴드 돌파 n=41, k=2.3 |
-0.5% | -60.6% | 0.08 | -0.01 | 0.9x | 150 | 30% |
| MACD fast=21, slow=33, signal=20 |
-2.8% | -87.9% | 0.05 | -0.03 | 0.4x | 354 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=2.3 |
-2.8% | -78.9% | -0.02 | -0.04 | 0.4x | 158 | 36% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-9.5% | -98.8% | -0.19 | -0.10 | 0.0x | 606 | 52% |
| Buy and hold | 11.3% | -80.8% | 0.46 | 0.14 | 33.1x | 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 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below