Trend-Following Backtester · Guide · backtest 한국어
equity · US
U-Haul Holding Company backtest
10 trend-following strategies were compared on the full daily history of U-Haul Holding Company. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -96.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -82.1%, Sharpe 0.52, 56% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=222 |
12.6% | -82.1% | 0.52 | 0.15 | 43.9x | 39 | 56% |
| Donchian 채널 돌파 entryN=48, exitN=87 |
11.2% | -85.3% | 0.46 | 0.13 | 29.2x | 53 | 68% |
| EMA 크로스오버 fast=45, slow=190 |
7.0% | -84.0% | 0.38 | 0.08 | 8.6x | 49 | 56% |
| ROC 모멘텀 n=166, threshold=0.13 |
7.0% | -70.9% | 0.37 | 0.10 | 8.6x | 213 | 39% |
| Supertrend period=21, mult=2.4 |
5.6% | -90.2% | 0.32 | 0.06 | 5.6x | 282 | 56% |
| MACD fast=19, slow=42, signal=19 |
4.7% | -85.8% | 0.30 | 0.05 | 4.3x | 322 | 49% |
| 볼린저 밴드 돌파 n=44, k=1.9 |
0.9% | -75.4% | 0.16 | 0.01 | 1.3x | 166 | 33% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-0.1% | -91.3% | 0.16 | -0.00 | 1.0x | 542 | 53% |
| ADX / DI 방향성 period=33, threshold=18 |
0.5% | -75.4% | 0.13 | 0.01 | 1.2x | 119 | 20% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=1.8 |
-0.4% | -84.9% | 0.11 | -0.00 | 0.9x | 196 | 37% |
| Buy and hold | 12.2% | -96.2% | 0.47 | 0.13 | 38.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 222-day average
- Sell — Sell (to cash) when the 56-day average falls below the 222-day average