Trend-Following Backtester · Guide · backtest 한국어
etf · CH
UBS ETF (CH) - UBS SXI Real Estate (R) ETF Anteile -CHF di- backtest
10 trend-following strategies were compared on the full daily history of UBS ETF (CH) - UBS SXI Real Estate (R) ETF Anteile -CHF di-. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.1%, MDD -20.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.1%, MDD -20.4%, Sharpe 0.42, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 5.9%p (CAGR 3.1%, MDD -20.4%, exposure 59%).
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=56, slow=180 |
3.1% | -20.4% | 0.42 | 0.15 | 1.6x | 21 | 59% |
| Donchian 채널 돌파 entryN=103, exitN=67 |
2.2% | -13.0% | 0.35 | 0.17 | 1.4x | 25 | 51% |
| EMA 크로스오버 fast=47, slow=119 |
1.2% | -20.4% | 0.18 | 0.06 | 1.2x | 33 | 60% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
0.7% | -9.9% | 0.17 | 0.07 | 1.1x | 32 | 25% |
| ADX / DI 방향성 period=34, threshold=24 |
0.3% | -10.8% | 0.11 | 0.03 | 1.1x | 22 | 15% |
| ROC 모멘텀 n=66, threshold=-0.04 |
0.3% | -34.6% | 0.08 | 0.01 | 1.0x | 77 | 84% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=18, mult=4 |
0.0% | -13.0% | 0.03 | 0.00 | 1.0x | 48 | 34% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.2% | -22.0% | -0.12 | -0.05 | 0.8x | 117 | 59% |
| Supertrend period=11, mult=5 |
-1.5% | -27.7% | -0.17 | -0.05 | 0.8x | 92 | 60% |
| MACD fast=19, slow=59, signal=17 |
-1.9% | -28.8% | -0.25 | -0.07 | 0.7x | 154 | 51% |
| Buy and hold | 3.6% | -26.3% | 0.38 | 0.14 | 1.7x | 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 56-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 56-day average falls below the 180-day average