Trend-Following Backtester · Guide · backtest 한국어
equity · US
UnitedHealth Group Incorporated backtest
10 trend-following strategies were compared on the full daily history of UnitedHealth Group Incorporated. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.6%, MDD -63.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.7%, drawdown -82.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -70.7%, Sharpe 0.71, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 11.9%p (CAGR 15.6%, MDD -63.1%, exposure 74%).
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=59, slow=109 |
17.5% | -70.7% | 0.71 | 0.25 | 867.3x | 85 | 67% |
| EMA 크로스오버 fast=53, slow=117 |
15.3% | -59.3% | 0.64 | 0.26 | 381.6x | 61 | 71% |
| Donchian 채널 돌파 entryN=55, exitN=79 |
15.6% | -63.1% | 0.64 | 0.25 | 429.8x | 61 | 74% |
| ROC 모멘텀 n=121, threshold=-0.13 |
15.6% | -81.4% | 0.61 | 0.19 | 425.7x | 165 | 86% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=4 |
7.7% | -48.4% | 0.49 | 0.16 | 22.7x | 104 | 34% |
| ADX / DI 방향성 period=28, threshold=27 |
5.6% | -36.8% | 0.48 | 0.15 | 9.6x | 62 | 10% |
| Supertrend period=20, mult=5 |
9.2% | -71.0% | 0.46 | 0.13 | 39.8x | 133 | 65% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
2.6% | -34.4% | 0.32 | 0.08 | 3.0x | 24 | 6% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.4% | -77.5% | 0.19 | 0.02 | 1.8x | 727 | 57% |
| MACD fast=8, slow=26, signal=10 |
0.4% | -78.3% | 0.14 | 0.01 | 1.2x | 925 | 50% |
| Buy and hold | 20.7% | -82.7% | 0.68 | 0.25 | 2681.2x | 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 59-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 59-day average falls below the 109-day average