Trend-Following Backtester · Guide · backtest 한국어
equity · US
U.S. Physical Therapy, Inc. backtest
10 trend-following strategies were compared on the full daily history of U.S. Physical Therapy, Inc.. 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 10.7%, drawdown -67.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.9%, MDD -77.5%, Sharpe 0.40, 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=-0.13 |
7.9% | -77.5% | 0.40 | 0.10 | 13.3x | 43 | 100% |
| SMA 크로스오버 fast=57, slow=111 |
7.3% | -68.7% | 0.38 | 0.11 | 11.0x | 74 | 58% |
| Donchian 채널 돌파 entryN=91, exitN=55 |
7.1% | -67.2% | 0.37 | 0.11 | 10.3x | 57 | 54% |
| EMA 크로스오버 fast=41, slow=190 |
4.3% | -75.7% | 0.29 | 0.06 | 4.2x | 58 | 61% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
2.5% | -56.4% | 0.23 | 0.04 | 2.3x | 40 | 12% |
| Supertrend period=10, mult=4.9 |
0.2% | -85.9% | 0.18 | 0.00 | 1.1x | 107 | 57% |
| ADX / DI 방향성 period=44, threshold=25 |
0.5% | -25.8% | 0.11 | 0.02 | 1.2x | 12 | 3% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.3% | -86.4% | 0.10 | -0.03 | 0.4x | 265 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2 |
-6.1% | -95.6% | -0.09 | -0.06 | 0.1x | 203 | 37% |
| MACD fast=15, slow=30, signal=22 |
-9.4% | -98.6% | -0.14 | -0.10 | 0.0x | 463 | 53% |
| Buy and hold | 10.7% | -67.4% | 0.45 | 0.16 | 32.5x | 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 -13%
- Sell — Sell when the 1-day return drops to -13% or below