Trend-Following Backtester · Guide · backtest 한국어
equity · CH
UBS Group AG backtest
10 trend-following strategies were compared on the full daily history of UBS Group AG. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.9%, MDD -37.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -90.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 4.7%, MDD -62.4%, Sharpe 0.32, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 1.9%, MDD -37.2%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.06 |
4.7% | -62.4% | 0.32 | 0.08 | 4.2x | 262 | 54% |
| 볼린저 밴드 돌파 n=30, k=3.3 |
1.5% | -10.5% | 0.31 | 0.14 | 1.6x | 20 | 5% |
| EMA 크로스오버 fast=57, slow=285 |
3.3% | -66.9% | 0.27 | 0.05 | 2.8x | 27 | 56% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=2.1 |
1.9% | -37.2% | 0.26 | 0.05 | 1.8x | 136 | 15% |
| Donchian 채널 돌파 entryN=41, exitN=11 |
1.8% | -42.3% | 0.20 | 0.04 | 1.7x | 168 | 32% |
| MACD fast=17, slow=39, signal=18 |
1.6% | -76.7% | 0.18 | 0.02 | 1.6x | 354 | 49% |
| SMA 크로스오버 fast=6, slow=103 |
1.6% | -55.9% | 0.18 | 0.03 | 1.6x | 144 | 55% |
| Supertrend period=28, mult=3.5 |
0.4% | -77.6% | 0.12 | 0.01 | 1.1x | 194 | 55% |
| ROC 모멘텀 n=149, threshold=-0.01 |
0.1% | -64.3% | 0.10 | 0.00 | 1.0x | 239 | 58% |
| ADX / DI 방향성 period=23, threshold=39 |
0.1% | -7.3% | 0.08 | 0.02 | 1.0x | 6 | 1% |
| Buy and hold | 2.3% | -90.7% | 0.24 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots