Trend-Following Backtester · Guide · backtest 한국어
equity · IN
United Breweries Limited backtest
10 trend-following strategies were compared on the full daily history of United Breweries Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.9%, MDD -40.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.5%, drawdown -63.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.9%, MDD -40.0%, Sharpe 0.67, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 16.9%, MDD -40.0%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=76, slow=159 |
16.9% | -40.0% | 0.67 | 0.42 | 16.8x | 20 | 59% |
| EMA 크로스오버 fast=65, slow=222 |
13.3% | -43.5% | 0.56 | 0.31 | 9.5x | 14 | 67% |
| ROC 모멘텀 n=149, threshold=0 |
11.0% | -49.3% | 0.50 | 0.22 | 6.6x | 104 | 59% |
| Donchian 채널 돌파 entryN=7, exitN=75 |
11.8% | -55.4% | 0.50 | 0.21 | 7.5x | 47 | 86% |
| ADX / DI 방향성 period=35, threshold=23 |
4.2% | -35.5% | 0.33 | 0.12 | 2.1x | 30 | 13% |
| MACD fast=19, slow=57, signal=18 |
5.4% | -44.8% | 0.33 | 0.12 | 2.6x | 172 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=0.9 |
3.4% | -42.9% | 0.26 | 0.08 | 1.8x | 146 | 45% |
| Supertrend period=19, mult=2.6 |
1.9% | -56.1% | 0.21 | 0.03 | 1.4x | 118 | 49% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
1.4% | -64.8% | 0.17 | 0.02 | 1.3x | 32 | 11% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-0.3% | -63.6% | 0.13 | -0.00 | 1.0x | 435 | 50% |
| Buy and hold | 12.5% | -63.9% | 0.50 | 0.20 | 8.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 76-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 76-day average falls below the 159-day average