Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Umicore SA backtest
10 trend-following strategies were compared on the full daily history of Umicore SA. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.6%, MDD -20.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.7%, drawdown -87.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.6%, MDD -20.8%, Sharpe 0.54, 30% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.8%, MDD -53.3%, exposure 71%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 66.8%p (CAGR 7.6%, MDD -20.8%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=9, mult=3.4 |
7.6% | -20.8% | 0.54 | 0.37 | 7.1x | 68 | 30% |
| ROC 모멘텀 n=186, threshold=-0.09 |
10.8% | -53.3% | 0.52 | 0.20 | 15.2x | 107 | 71% |
| SMA 크로스오버 fast=33, slow=213 |
9.2% | -44.0% | 0.49 | 0.21 | 10.4x | 41 | 56% |
| EMA 크로스오버 fast=80, slow=181 |
8.7% | -50.4% | 0.46 | 0.17 | 9.3x | 25 | 61% |
| Donchian 채널 돌파 entryN=56, exitN=69 |
8.0% | -55.2% | 0.44 | 0.15 | 7.8x | 49 | 58% |
| Supertrend period=19, mult=4.7 |
6.8% | -67.7% | 0.40 | 0.10 | 5.8x | 86 | 56% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
5.3% | -51.5% | 0.35 | 0.10 | 4.0x | 138 | 45% |
| ADX / DI 방향성 period=34, threshold=17 |
3.3% | -42.5% | 0.30 | 0.08 | 2.3x | 96 | 23% |
| MACD fast=19, slow=59, signal=19 |
-1.2% | -83.9% | 0.07 | -0.01 | 0.7x | 278 | 52% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-3.4% | -89.0% | -0.02 | -0.04 | 0.4x | 475 | 54% |
| Buy and hold | 6.7% | -87.6% | 0.36 | 0.08 | 5.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 51-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 51-day average