Trend-Following Backtester · Guide · backtest 한국어
equity · US
Universal Health Realty Income Trust backtest
10 trend-following strategies were compared on the full daily history of Universal Health Realty Income Trust. 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 3.6%, drawdown -75.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.3%, MDD -80.1%, Sharpe 0.22, 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=1, threshold=-0.08 |
2.3% | -80.1% | 0.22 | 0.03 | 2.4x | 33 | 100% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
0.5% | -66.5% | 0.14 | 0.01 | 1.2x | 111 | 87% |
| SMA 크로스오버 fast=54, slow=170 |
0.2% | -63.3% | 0.11 | 0.00 | 1.1x | 63 | 57% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=9, mult=4 |
0.2% | -27.7% | 0.07 | 0.01 | 1.1x | 24 | 4% |
| EMA 크로스오버 fast=54, slow=202 |
-1.5% | -76.0% | 0.02 | -0.02 | 0.5x | 75 | 57% |
| Supertrend period=20, mult=4.7 |
-2.8% | -73.0% | -0.06 | -0.04 | 0.3x | 123 | 56% |
| ADX / DI 방향성 period=44, threshold=24 |
-0.2% | -9.0% | -0.06 | -0.02 | 0.9x | 14 | 1% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-0.4% | -23.9% | -0.09 | -0.02 | 0.8x | 18 | 3% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-6.4% | -94.4% | -0.24 | -0.07 | 0.1x | 323 | 56% |
| MACD fast=24, slow=31, signal=30 |
-7.6% | -95.7% | -0.32 | -0.08 | 0.0x | 405 | 53% |
| Buy and hold | 3.6% | -75.2% | 0.27 | 0.05 | 4.0x | 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 1-day return is greater than -8%
- Sell — Sell when the 1-day return drops to -8% or below