Trend-Following Backtester · Guide · backtest 한국어
equity · US
Universal Corporation backtest
10 trend-following strategies were compared on the full daily history of Universal Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -72.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.1%, MDD -47.4%, Sharpe 0.27, 42% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=92, exitN=43 |
3.1% | -47.4% | 0.27 | 0.07 | 5.2x | 118 | 42% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
1.8% | -31.5% | 0.26 | 0.06 | 2.6x | 40 | 10% |
| ADX / DI 방향성 period=39, threshold=37 |
0.4% | -5.9% | 0.24 | 0.07 | 1.2x | 4 | 1% |
| SMA 크로스오버 fast=38, slow=119 |
1.3% | -73.9% | 0.16 | 0.02 | 2.0x | 138 | 56% |
| EMA 크로스오버 fast=43, slow=117 |
0.8% | -74.2% | 0.15 | 0.01 | 1.5x | 102 | 56% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=13, mult=2.4 |
0.8% | -65.5% | 0.14 | 0.01 | 1.5x | 228 | 37% |
| Supertrend period=29, mult=4.9 |
0.5% | -69.0% | 0.14 | 0.01 | 1.3x | 198 | 54% |
| ROC 모멘텀 n=134, threshold=0.09 |
-0.4% | -72.5% | 0.06 | -0.01 | 0.8x | 396 | 38% |
| MACD fast=18, slow=79, signal=17 |
-2.3% | -79.1% | -0.00 | -0.03 | 0.3x | 541 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.0% | -83.6% | -0.04 | -0.04 | 0.2x | 419 | 54% |
| Buy and hold | 4.9% | -72.0% | 0.31 | 0.07 | 12.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 92 days
- Sell — Sell when price breaks below the lowest low of the last 43 days