Trend-Following Backtester · Guide · backtest 한국어
equity · GB
United Utilities Group PLC backtest
10 trend-following strategies were compared on the full daily history of United Utilities Group PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -54.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.0%, MDD -61.9%, Sharpe 0.28, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
4.0% | -61.9% | 0.28 | 0.06 | 4.2x | 7 | 100% |
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=1, exitN=106 |
1.4% | -69.3% | 0.17 | 0.02 | 1.6x | 123 | 98% |
| ADX / DI 방향성 period=31, threshold=43 |
0.2% | -4.2% | 0.16 | 0.04 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=3, atrPeriod=17, mult=3.7 |
0.0% | -1.4% | 0.15 | 0.03 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=58, slow=214 |
0.4% | -48.2% | 0.11 | 0.01 | 1.2x | 57 | 63% |
| EMA 크로스오버 fast=73, slow=155 |
-0.8% | -61.7% | 0.04 | -0.01 | 0.7x | 61 | 65% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
-0.2% | -19.7% | -0.05 | -0.01 | 0.9x | 18 | 3% |
| Supertrend period=18, mult=4.4 |
-5.1% | -88.4% | -0.23 | -0.06 | 0.1x | 181 | 58% |
| MACD fast=22, slow=59, signal=19 |
-7.1% | -93.7% | -0.38 | -0.08 | 0.1x | 383 | 51% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-8.4% | -96.8% | -0.45 | -0.09 | 0.0x | 315 | 54% |
| Buy and hold | 4.9% | -54.9% | 0.32 | 0.09 | 5.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -10%
- Sell — Sell when the 1-day return drops to -10% or below