Trend-Following Backtester · Guide · backtest 한국어
equity · US
U-Haul Holding Company backtest
10 trend-following strategies were compared on the full daily history of U-Haul Holding Company. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -96.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -82.1%, Sharpe 0.53, 56% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=222 |
12.8% | -82.1% | 0.53 | 0.16 | 46.2x | 39 | 56% |
| Donchian 채널 돌파 entryN=48, exitN=87 |
11.4% | -85.3% | 0.46 | 0.13 | 30.7x | 53 | 68% |
| EMA 크로스오버 fast=45, slow=190 |
7.2% | -84.0% | 0.38 | 0.09 | 9.1x | 49 | 55% |
| ROC 모멘텀 n=166, threshold=0.13 |
7.2% | -70.9% | 0.37 | 0.10 | 9.1x | 213 | 38% |
| Supertrend period=21, mult=2.4 |
5.7% | -90.2% | 0.32 | 0.06 | 5.8x | 281 | 56% |
| MACD fast=19, slow=42, signal=19 |
4.8% | -85.8% | 0.30 | 0.06 | 4.5x | 319 | 50% |
| 볼린저 밴드 돌파 n=44, k=1.9 |
1.0% | -75.4% | 0.16 | 0.01 | 1.4x | 165 | 32% |
| Parabolic SAR step=0.015, maxStep=0.28 |
0.0% | -91.3% | 0.16 | 0.00 | 1.0x | 539 | 53% |
| ADX / DI 방향성 period=33, threshold=18 |
0.7% | -75.4% | 0.13 | 0.01 | 1.2x | 119 | 20% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=1.8 |
-0.3% | -84.9% | 0.11 | -0.00 | 0.9x | 195 | 37% |
| Buy and hold | 12.4% | -96.2% | 0.48 | 0.13 | 40.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 222-day average
- Sell — Sell (to cash) when the 56-day average falls below the 222-day average