Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Therapeutics Corporation backtest
10 trend-following strategies were compared on the full daily history of United Therapeutics Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.7%, drawdown -93.2%).
Sharpe leader (same as main): Supertrend — CAGR 15.7%, MDD -83.0%, Sharpe 0.61, 59% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 17.5%, MDD -95.0%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.9 |
15.7% | -83.0% | 0.61 | 0.19 | 52.3x | 108 | 59% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.12 |
17.5% | -95.0% | 0.60 | 0.18 | 81.3x | 73 | 99% |
| Parabolic SAR step=0.005, maxStep=0.28 |
12.6% | -62.7% | 0.54 | 0.20 | 25.3x | 229 | 53% |
| EMA 크로스오버 fast=20, slow=44 |
12.9% | -62.9% | 0.53 | 0.21 | 27.4x | 142 | 59% |
| Donchian 채널 돌파 entryN=15, exitN=41 |
13.5% | -85.3% | 0.53 | 0.16 | 31.3x | 108 | 75% |
| SMA 크로스오버 fast=36, slow=208 |
11.6% | -59.9% | 0.50 | 0.19 | 20.0x | 43 | 63% |
| MACD fast=26, slow=53, signal=21 |
9.9% | -78.5% | 0.46 | 0.13 | 13.2x | 212 | 50% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
9.2% | -63.8% | 0.45 | 0.14 | 11.1x | 192 | 45% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=25, mult=2.6 |
6.9% | -62.2% | 0.41 | 0.11 | 6.1x | 114 | 33% |
| ADX / DI 방향성 period=12, threshold=18 |
4.8% | -71.7% | 0.31 | 0.07 | 3.6x | 475 | 44% |
| Buy and hold | 17.7% | -93.2% | 0.59 | 0.19 | 83.3x | 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) — 9-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)