Trend-Following Backtester · Guide · backtest 한국어
equity · DK
UIE PLC backtest
10 trend-following strategies were compared on the full daily history of UIE PLC. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.6%, MDD -25.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -67.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.3%, MDD -30.8%, Sharpe 0.79, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 36.9%p (CAGR 14.6%, MDD -25.4%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=207 |
15.3% | -30.8% | 0.79 | 0.50 | 44.6x | 23 | 71% |
| Donchian 채널 돌파 entryN=58, exitN=61 |
14.6% | -25.4% | 0.78 | 0.58 | 38.3x | 37 | 66% |
| SMA 크로스오버 fast=47, slow=96 |
13.7% | -28.7% | 0.75 | 0.48 | 30.8x | 65 | 60% |
| 볼린저 밴드 돌파 n=73, k=1.6 |
11.7% | -39.5% | 0.73 | 0.30 | 18.9x | 87 | 44% |
| Supertrend period=13, mult=4.4 |
11.4% | -49.3% | 0.63 | 0.23 | 17.8x | 89 | 64% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=2.8 |
9.1% | -39.3% | 0.62 | 0.23 | 10.3x | 91 | 36% |
| ROC 모멘텀 n=123, threshold=0.04 |
9.4% | -50.9% | 0.57 | 0.18 | 10.9x | 175 | 56% |
| ADX / DI 방향성 period=30, threshold=12 |
9.1% | -44.3% | 0.56 | 0.20 | 10.1x | 249 | 50% |
| MACD fast=23, slow=70, signal=20 |
8.3% | -36.0% | 0.53 | 0.23 | 8.4x | 205 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.4% | -39.8% | 0.47 | 0.19 | 6.7x | 175 | 54% |
| Buy and hold | 16.6% | -67.7% | 0.73 | 0.25 | 60.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 207-day EMA
- Sell — Sell when the 36-day EMA falls below the 207-day EMA