Trend-Following Backtester · Guide · backtest 한국어

equity · US

Universal Health Services, Inc. backtest

10 trend-following strategies were compared on the full daily history of Universal Health Services, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 1981-07-09 ~ 2026-07-31daily bars 11,357 (45.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 11.5%, drawdown -89.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -72.6%, Sharpe 0.50, 88% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=53, threshold=-0.15
11.5%-72.6%0.500.16135.0x25388%
MACD
fast=18, slow=61, signal=23
8.4%-48.5%0.450.1738.6x37751%
Supertrend
period=14, mult=4.5
7.7%-71.0%0.420.1127.7x18558%
Donchian 채널 돌파
entryN=22, exitN=59
7.8%-68.8%0.410.1130.0x14176%
볼린저 밴드 돌파
n=32, k=1.2
6.7%-68.3%0.400.1018.5x42346%
ADX / DI 방향성
period=39, threshold=14
6.1%-70.3%0.390.0914.7x23638%
Parabolic SAR
step=0.01, maxStep=0.38
6.7%-70.7%0.380.1018.8x56354%
SMA 크로스오버
fast=25, slow=50
6.7%-66.3%0.380.1018.3x23758%
EMA 크로스오버
fast=22, slow=29
6.3%-80.7%0.370.0815.6x24759%
Keltner 채널 돌파
emaPeriod=42, atrPeriod=23, mult=1.4
5.3%-76.9%0.350.0710.4x35747%
Buy and hold11.5%-89.7%0.480.13132.4x1100%
1x 10x 100x 1982 1988 1994 2000 2006 2012 2018 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -45% -67% -90% 1982 1988 1994 2000 2006 2012 2018 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -72.6% (1983-06-17 → 1988-01-26), recovered after 2,957 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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