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; Donchian 채널 돌파 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 16.3%, drawdown -67.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -25.4%, Sharpe 0.77, 66% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.0%, MDD -30.8%, exposure 71%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 42.4%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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=58, exitN=61 |
14.6% | -25.4% | 0.77 | 0.58 | 37.5x | 36 | 66% |
| EMA 크로스오버 fast=36, slow=207 |
15.0% | -30.8% | 0.77 | 0.49 | 41.2x | 23 | 71% |
| SMA 크로스오버 fast=47, slow=96 |
13.8% | -28.7% | 0.75 | 0.48 | 31.3x | 64 | 60% |
| 볼린저 밴드 돌파 n=73, k=1.6 |
11.6% | -39.5% | 0.72 | 0.29 | 18.5x | 86 | 44% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=2.8 |
9.1% | -39.3% | 0.63 | 0.23 | 10.2x | 90 | 36% |
| Supertrend period=13, mult=4.4 |
11.1% | -49.3% | 0.62 | 0.23 | 16.5x | 89 | 64% |
| ADX / DI 방향성 period=30, threshold=12 |
9.1% | -44.3% | 0.57 | 0.21 | 10.2x | 248 | 50% |
| ROC 모멘텀 n=123, threshold=0.04 |
9.2% | -50.9% | 0.56 | 0.18 | 10.4x | 174 | 56% |
| MACD fast=23, slow=70, signal=20 |
8.0% | -36.0% | 0.52 | 0.22 | 7.7x | 205 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.3% | -39.8% | 0.46 | 0.18 | 6.4x | 173 | 54% |
| Buy and hold | 16.3% | -67.7% | 0.72 | 0.24 | 55.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 58 days
- Sell — Sell when price breaks below the lowest low of the last 61 days