Trend-Following Backtester · Guide · backtest 한국어
equity · US
UNIVERSAL INSURANCE HOLDINGS INC backtest
10 trend-following strategies were compared on the full daily history of UNIVERSAL INSURANCE HOLDINGS INC. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 35.3%, drawdown -82.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.8%, MDD -56.1%, Sharpe 0.67, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 26.0%, MDD -80.1%, exposure 61%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=195 |
24.8% | -56.1% | 0.67 | 0.44 | 169.3x | 29 | 58% |
| ROC 모멘텀 n=140, threshold=-0.01 |
26.0% | -80.1% | 0.56 | 0.33 | 212.7x | 183 | 61% |
| EMA 크로스오버 fast=35, slow=210 |
23.4% | -82.7% | 0.55 | 0.28 | 130.5x | 29 | 58% |
| Donchian 채널 돌파 entryN=107, exitN=69 |
18.0% | -80.0% | 0.49 | 0.23 | 46.3x | 35 | 53% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
12.8% | -74.7% | 0.39 | 0.17 | 16.1x | 71 | 31% |
| ADX / DI 방향성 period=10, threshold=14 |
4.7% | -97.5% | 0.35 | 0.05 | 2.9x | 545 | 48% |
| Supertrend period=10, mult=3.4 |
2.6% | -99.2% | 0.34 | 0.03 | 1.8x | 143 | 50% |
| MACD fast=8, slow=16, signal=11 |
3.7% | -97.0% | 0.33 | 0.04 | 2.3x | 559 | 52% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-1.8% | -95.6% | 0.26 | -0.02 | 0.7x | 495 | 49% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=4 |
-1.5% | -96.0% | 0.16 | -0.02 | 0.7x | 40 | 4% |
| Buy and hold | 35.3% | -82.7% | 0.68 | 0.43 | 1087.3x | 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 52-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 52-day average falls below the 195-day average