Trend-Following Backtester · Guide · backtest 한국어
equity · US
USANA Health Sciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of USANA Health Sciences, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.0%, MDD -62.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.9%, drawdown -94.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.0%, MDD -62.2%, Sharpe 0.68, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 24.0%, MDD -62.2%, exposure 50%).
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=38, slow=151 |
24.0% | -62.2% | 0.68 | 0.39 | 1039.0x | 53 | 50% |
| EMA 크로스오버 fast=46, slow=104 |
23.8% | -75.1% | 0.68 | 0.32 | 991.3x | 55 | 50% |
| Donchian 채널 돌파 entryN=102, exitN=66 |
22.1% | -67.1% | 0.66 | 0.33 | 637.3x | 41 | 46% |
| ROC 모멘텀 n=106, threshold=0.1 |
20.2% | -69.9% | 0.62 | 0.29 | 379.0x | 270 | 39% |
| 볼린저 밴드 돌파 n=42, k=2.3 |
12.7% | -71.0% | 0.50 | 0.18 | 48.2x | 127 | 28% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=3.8 |
11.7% | -66.8% | 0.49 | 0.17 | 35.5x | 68 | 24% |
| Supertrend period=22, mult=5 |
12.8% | -83.3% | 0.49 | 0.15 | 49.4x | 93 | 54% |
| ADX / DI 방향성 period=38, threshold=12 |
12.3% | -83.3% | 0.47 | 0.15 | 43.0x | 246 | 39% |
| Parabolic SAR step=0.005, maxStep=0.36 |
11.1% | -89.1% | 0.45 | 0.12 | 30.0x | 237 | 49% |
| MACD fast=29, slow=56, signal=18 |
8.3% | -92.5% | 0.40 | 0.09 | 13.2x | 281 | 52% |
| Buy and hold | 19.9% | -94.9% | 0.60 | 0.21 | 352.0x | 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 38-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 38-day average falls below the 151-day average