Trend-Following Backtester · Guide · backtest 한국어
equity · US
Utz Brands Inc backtest
10 trend-following strategies were compared on the full daily history of Utz Brands Inc. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.1%, MDD -12.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.1%, drawdown -77.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.1%, MDD -12.8%, Sharpe 0.76, 23% exposure.
CAGR reference leader: Supertrend — CAGR 17.9%, MDD -37.6%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 64.5%p (CAGR 11.1%, MDD -12.8%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=18 |
11.1% | -12.8% | 0.76 | 0.86 | 2.3x | 11 | 23% |
| Donchian 채널 돌파 entryN=73, exitN=72 |
11.6% | -34.4% | 0.63 | 0.34 | 2.3x | 7 | 49% |
| Supertrend period=25, mult=4.2 |
17.9% | -37.6% | 0.57 | 0.48 | 3.6x | 23 | 46% |
| SMA 크로스오버 fast=21, slow=68 |
17.5% | -37.3% | 0.56 | 0.47 | 3.5x | 25 | 49% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=4 |
6.8% | -32.3% | 0.50 | 0.21 | 1.7x | 17 | 24% |
| ROC 모멘텀 n=106, threshold=0.08 |
6.3% | -34.5% | 0.43 | 0.18 | 1.6x | 45 | 26% |
| Parabolic SAR step=0.005, maxStep=0.3 |
10.8% | -57.5% | 0.41 | 0.19 | 2.2x | 59 | 49% |
| EMA 크로스오버 fast=19, slow=33 |
9.7% | -64.1% | 0.39 | 0.15 | 2.1x | 43 | 51% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
2.6% | -15.5% | 0.31 | 0.17 | 1.2x | 16 | 7% |
| MACD fast=16, slow=51, signal=16 |
-2.1% | -70.6% | 0.11 | -0.03 | 0.8x | 94 | 48% |
| Buy and hold | 5.1% | -77.4% | 0.30 | 0.07 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)