Trend-Following Backtester · Guide · backtest 한국어
equity · US
Universal Health Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Universal Health Services, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -89.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -72.6%, Sharpe 0.50, 88% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=53, threshold=-0.15 |
11.5% | -72.6% | 0.50 | 0.16 | 135.0x | 253 | 88% |
| MACD fast=18, slow=61, signal=23 |
8.4% | -48.5% | 0.45 | 0.17 | 38.6x | 377 | 51% |
| Supertrend period=14, mult=4.5 |
7.7% | -71.0% | 0.42 | 0.11 | 27.7x | 185 | 58% |
| Donchian 채널 돌파 entryN=22, exitN=59 |
7.8% | -68.8% | 0.41 | 0.11 | 30.0x | 141 | 76% |
| 볼린저 밴드 돌파 n=32, k=1.2 |
6.7% | -68.3% | 0.40 | 0.10 | 18.5x | 423 | 46% |
| ADX / DI 방향성 period=39, threshold=14 |
6.1% | -70.3% | 0.39 | 0.09 | 14.7x | 236 | 38% |
| Parabolic SAR step=0.01, maxStep=0.38 |
6.7% | -70.7% | 0.38 | 0.10 | 18.8x | 563 | 54% |
| SMA 크로스오버 fast=25, slow=50 |
6.7% | -66.3% | 0.38 | 0.10 | 18.3x | 237 | 58% |
| EMA 크로스오버 fast=22, slow=29 |
6.3% | -80.7% | 0.37 | 0.08 | 15.6x | 247 | 59% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=23, mult=1.4 |
5.3% | -76.9% | 0.35 | 0.07 | 10.4x | 357 | 47% |
| Buy and hold | 11.5% | -89.7% | 0.48 | 0.13 | 132.4x | 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 53-day return is greater than -15%
- Sell — Sell when the 53-day return drops to -15% or below