Trend-Following Backtester · Guide · backtest 한국어
equity · GB
UNITE Group plc backtest
10 trend-following strategies were compared on the full daily history of UNITE Group plc. 6 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 11.0%, MDD -50.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.6%, drawdown -93.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -50.3%, Sharpe 0.60, 53% exposure.
CAGR reference leader: Supertrend — CAGR 11.8%, MDD -64.2%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 11.0%, MDD -50.3%, exposure 53%).
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=79, exitN=49 |
11.0% | -50.3% | 0.60 | 0.22 | 17.3x | 45 | 53% |
| SMA 크로스오버 fast=40, slow=194 |
10.7% | -58.5% | 0.58 | 0.18 | 15.9x | 35 | 57% |
| Supertrend period=6, mult=5 |
11.8% | -64.2% | 0.58 | 0.18 | 20.8x | 65 | 56% |
| ROC 모멘텀 n=166, threshold=-0.04 |
10.3% | -63.1% | 0.57 | 0.16 | 14.5x | 136 | 63% |
| EMA 크로스오버 fast=45, slow=56 |
10.3% | -69.0% | 0.55 | 0.15 | 14.4x | 71 | 59% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=4 |
5.8% | -37.3% | 0.46 | 0.16 | 4.7x | 42 | 19% |
| ADX / DI 방향성 period=15, threshold=24 |
6.6% | -52.6% | 0.45 | 0.13 | 5.7x | 200 | 26% |
| 볼린저 밴드 돌파 n=48, k=1.6 |
6.3% | -64.9% | 0.40 | 0.10 | 5.2x | 160 | 43% |
| MACD fast=20, slow=54, signal=18 |
2.0% | -79.9% | 0.20 | 0.02 | 1.7x | 310 | 49% |
| Parabolic SAR step=0.01, maxStep=0.32 |
0.6% | -86.2% | 0.14 | 0.01 | 1.2x | 380 | 54% |
| Buy and hold | 6.6% | -93.0% | 0.35 | 0.07 | 5.6x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 49 days