Trend-Following Backtester · Guide · backtest 한국어
equity · BE
UCB S.A. backtest
10 trend-following strategies were compared on the full daily history of UCB S.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.7%, MDD -47.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -68.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -7.5%, Sharpe 0.50, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.8%, MDD -59.9%, exposure 67%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 60.6%p (CAGR 5.7%, MDD -47.0%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=32 |
1.5% | -7.5% | 0.50 | 0.20 | 1.5x | 2 | 2% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
2.9% | -28.8% | 0.41 | 0.10 | 2.1x | 42 | 10% |
| Donchian 채널 돌파 entryN=98, exitN=33 |
4.8% | -53.8% | 0.39 | 0.09 | 3.5x | 56 | 36% |
| SMA 크로스오버 fast=33, slow=51 |
5.7% | -47.0% | 0.37 | 0.12 | 4.3x | 144 | 55% |
| ROC 모멘텀 n=114, threshold=-0.04 |
5.8% | -59.9% | 0.37 | 0.10 | 4.5x | 216 | 67% |
| Supertrend period=22, mult=3.6 |
5.3% | -48.3% | 0.35 | 0.11 | 3.9x | 128 | 58% |
| EMA 크로스오버 fast=59, slow=140 |
5.0% | -44.9% | 0.34 | 0.11 | 3.6x | 37 | 58% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=4 |
2.7% | -23.3% | 0.34 | 0.12 | 2.0x | 50 | 15% |
| Parabolic SAR step=0.005, maxStep=0.1 |
1.9% | -62.7% | 0.19 | 0.03 | 1.6x | 228 | 56% |
| MACD fast=20, slow=47, signal=17 |
0.8% | -55.2% | 0.13 | 0.01 | 1.2x | 286 | 52% |
| Buy and hold | 6.6% | -68.0% | 0.36 | 0.10 | 5.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 44-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)