Trend-Following Backtester · Guide · backtest 한국어
equity · US
Universe Pharmaceuticals Inc backtest
10 trend-following strategies were compared on the full daily history of Universe Pharmaceuticals Inc. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.7%, MDD -60.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -79.9%, drawdown -100.0%).
Sharpe leader (same as main): Supertrend — CAGR 13.7%, MDD -60.6%, Sharpe 0.48, 28% exposure.
Return/drawdown alternative: Supertrend — CAGR is 93.6%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 13.7%, MDD -60.6%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=2.8 |
13.7% | -60.6% | 0.48 | 0.23 | 2.0x | 20 | 28% |
| ADX / DI 방향성 period=30, threshold=18 |
-4.3% | -77.6% | 0.36 | -0.06 | 0.8x | 17 | 38% |
| EMA 크로스오버 fast=21, slow=42 |
-10.0% | -77.6% | 0.35 | -0.13 | 0.6x | 19 | 28% |
| SMA 크로스오버 fast=9, slow=79 |
-11.2% | -79.7% | 0.34 | -0.14 | 0.5x | 17 | 27% |
| ROC 모멘텀 n=70, threshold=0.1 |
-14.3% | -81.9% | 0.30 | -0.17 | 0.4x | 38 | 23% |
| Donchian 채널 돌파 entryN=42, exitN=34 |
-26.6% | -90.4% | 0.23 | -0.29 | 0.2x | 11 | 33% |
| MACD fast=21, slow=34, signal=19 |
-70.1% | -99.9% | -0.23 | -0.70 | 0.0x | 40 | 66% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
-31.7% | -93.6% | -0.24 | -0.34 | 0.1x | 16 | 15% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-46.7% | -96.5% | -0.26 | -0.48 | 0.0x | 64 | 33% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=3.3 |
-13.7% | -78.5% | -0.28 | -0.17 | 0.5x | 6 | 5% |
| Buy and hold | -79.9% | -100.0% | -0.03 | -0.80 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)