Trend-Following Backtester · Guide · backtest 한국어
equity · US
Utah Medical Products, Inc. backtest
10 trend-following strategies were compared on the full daily history of Utah Medical Products, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -58.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -58.5%, Sharpe 0.44, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 100% n=2, threshold=-0.14 |
9.2% | -58.5% | 0.44 | 0.16 | 11.0x | 7 | 100% |
| SMA 크로스오버 fast=17, slow=220 |
4.9% | -48.8% | 0.32 | 0.10 | 3.7x | 55 | 59% |
| EMA 크로스오버 fast=62, slow=207 |
3.2% | -57.0% | 0.25 | 0.06 | 2.4x | 39 | 60% |
| Donchian 채널 돌파 entryN=64, exitN=69 |
3.1% | -54.5% | 0.25 | 0.06 | 2.3x | 41 | 63% |
| ADX / DI 방향성 period=49, threshold=16 |
2.4% | -34.3% | 0.23 | 0.07 | 1.9x | 46 | 21% |
| Supertrend period=15, mult=4.5 |
2.0% | -57.2% | 0.21 | 0.04 | 1.7x | 69 | 58% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
0.9% | -20.3% | 0.16 | 0.04 | 1.3x | 26 | 4% |
| MACD fast=41, slow=56, signal=26 |
-1.3% | -84.4% | 0.05 | -0.01 | 0.7x | 188 | 50% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=3.5 |
-0.3% | -54.5% | 0.04 | -0.01 | 0.9x | 50 | 19% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-5.2% | -89.7% | -0.10 | -0.06 | 0.2x | 216 | 52% |
| Buy and hold | 9.4% | -58.5% | 0.44 | 0.16 | 11.7x | 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 2-day return is greater than -14%
- Sell — Sell when the 2-day return drops to -14% or below