Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Natural Foods, Inc. backtest
10 trend-following strategies were compared on the full daily history of United Natural Foods, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.8%, MDD -62.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.5%, drawdown -93.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -62.2%, Sharpe 0.39, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 7.8%, MDD -62.2%, exposure 58%).
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=69, slow=224 |
7.8% | -62.2% | 0.39 | 0.13 | 9.5x | 37 | 58% |
| EMA 크로스오버 fast=70, slow=150 |
6.9% | -78.0% | 0.36 | 0.09 | 7.2x | 39 | 60% |
| ROC 모멘텀 n=128, threshold=-0.04 |
5.6% | -65.6% | 0.33 | 0.09 | 5.0x | 227 | 62% |
| Supertrend period=16, mult=3.8 |
4.9% | -72.7% | 0.31 | 0.07 | 4.1x | 134 | 52% |
| Donchian 채널 돌파 entryN=16, exitN=65 |
3.1% | -85.3% | 0.29 | 0.04 | 2.5x | 95 | 77% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.5% | -90.9% | 0.27 | 0.04 | 2.8x | 374 | 51% |
| ADX / DI 방향성 period=26, threshold=8 |
2.1% | -86.4% | 0.24 | 0.02 | 1.9x | 424 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=28, mult=1 |
0.4% | -76.0% | 0.18 | 0.00 | 1.1x | 250 | 45% |
| MACD fast=13, slow=30, signal=13 |
-0.7% | -87.5% | 0.16 | -0.01 | 0.8x | 456 | 51% |
| 볼린저 밴드 돌파 n=53, k=2.2 |
0.5% | -84.3% | 0.16 | 0.01 | 1.2x | 116 | 33% |
| Buy and hold | 6.5% | -93.5% | 0.38 | 0.07 | 6.5x | 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 69-day average price crosses above the 224-day average
- Sell — Sell (to cash) when the 69-day average falls below the 224-day average