Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Parks & Resorts Inc. backtest
10 trend-following strategies were compared on the full daily history of United Parks & Resorts 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 7.7%, MDD -21.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.3%, drawdown -80.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.7%, MDD -21.2%, Sharpe 0.60, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.2%, MDD -52.8%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR 7.7%, MDD -21.2%, exposure 11%).
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=33, threshold=20 |
7.7% | -21.2% | 0.60 | 0.36 | 2.7x | 20 | 11% |
| SMA 크로스오버 fast=37, slow=50 |
9.2% | -52.8% | 0.45 | 0.18 | 3.3x | 80 | 52% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
6.6% | -38.0% | 0.44 | 0.17 | 2.4x | 28 | 21% |
| Donchian 채널 돌파 entryN=34, exitN=27 |
8.1% | -57.8% | 0.42 | 0.14 | 2.8x | 44 | 48% |
| MACD fast=29, slow=72, signal=18 |
8.2% | -54.5% | 0.41 | 0.15 | 2.9x | 96 | 53% |
| Supertrend period=10, mult=3.9 |
6.4% | -54.3% | 0.36 | 0.12 | 2.3x | 57 | 54% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=3.9 |
3.8% | -22.5% | 0.36 | 0.17 | 1.7x | 16 | 12% |
| ROC 모멘텀 n=85, threshold=0.08 |
5.5% | -54.7% | 0.34 | 0.10 | 2.0x | 135 | 36% |
| EMA 크로스오버 fast=29, slow=39 |
-1.3% | -71.1% | 0.10 | -0.02 | 0.8x | 61 | 50% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-4.7% | -72.5% | 0.01 | -0.06 | 0.5x | 292 | 50% |
| Buy and hold | 1.3% | -80.8% | 0.26 | 0.02 | 1.2x | 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, 33-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)