Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Uni-President China Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Uni-President China Holdings Ltd.. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.1%, MDD -40.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.7%, drawdown -76.9%).
Sharpe leader (same as main): MACD — CAGR 6.7%, MDD -47.0%, Sharpe 0.38, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 6.1%, MDD -40.0%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=31, slow=92, signal=39 |
6.7% | -47.0% | 0.38 | 0.14 | 3.3x | 89 | 48% |
| Supertrend period=28, mult=3.9 |
6.1% | -40.0% | 0.36 | 0.15 | 3.0x | 60 | 43% |
| SMA 크로스오버 fast=53, slow=131 |
4.6% | -58.9% | 0.31 | 0.08 | 2.3x | 40 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=19, mult=2.8 |
2.5% | -39.1% | 0.24 | 0.07 | 1.6x | 52 | 17% |
| Donchian 채널 돌파 entryN=18, exitN=51 |
2.1% | -67.8% | 0.22 | 0.03 | 1.5x | 66 | 66% |
| 볼린저 밴드 돌파 n=44, k=2.1 |
1.3% | -56.8% | 0.17 | 0.02 | 1.3x | 84 | 29% |
| EMA 크로스오버 fast=23, slow=55 |
0.9% | -72.9% | 0.17 | 0.01 | 1.2x | 72 | 48% |
| ADX / DI 방향성 period=36, threshold=13 |
0.0% | -67.6% | 0.12 | 0.00 | 1.0x | 102 | 32% |
| ROC 모멘텀 n=70, threshold=-0.01 |
-1.8% | -76.9% | 0.07 | -0.02 | 0.7x | 195 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.2% | -85.5% | -0.11 | -0.07 | 0.3x | 307 | 50% |
| Buy and hold | 2.7% | -76.9% | 0.27 | 0.04 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (31/92) crosses above its 39-day signal line
- Sell — Sell when the MACD line crosses back below the signal line