Trend-Following Backtester · Guide · backtest 한국어
equity · IN
UCO Bank backtest
10 trend-following strategies were compared on the full daily history of UCO Bank. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -54.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.3%, drawdown -94.3%).
Sharpe leader (same as main): MACD — CAGR 11.6%, MDD -70.9%, Sharpe 0.50, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 5.6%, MDD -54.6%, exposure 9%).
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=15, slow=27, signal=17 |
11.6% | -70.9% | 0.50 | 0.16 | 12.2x | 280 | 50% |
| 볼린저 밴드 돌파 n=51, k=3.1 |
8.0% | -57.6% | 0.46 | 0.14 | 5.8x | 34 | 14% |
| ROC 모멘텀 n=96, threshold=0.14 |
7.2% | -81.5% | 0.39 | 0.09 | 4.9x | 120 | 27% |
| SMA 크로스오버 fast=54, slow=212 |
7.3% | -80.8% | 0.39 | 0.09 | 5.0x | 30 | 41% |
| Donchian 채널 돌파 entryN=109, exitN=6 |
5.6% | -54.6% | 0.39 | 0.10 | 3.5x | 52 | 9% |
| EMA 크로스오버 fast=31, slow=82 |
5.1% | -88.5% | 0.32 | 0.06 | 3.1x | 56 | 43% |
| Supertrend period=8, mult=3.7 |
4.4% | -86.1% | 0.30 | 0.05 | 2.7x | 99 | 55% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=2.3 |
3.5% | -69.1% | 0.26 | 0.05 | 2.2x | 96 | 24% |
| ADX / DI 방향성 period=10, threshold=28 |
3.0% | -61.4% | 0.24 | 0.05 | 2.0x | 240 | 26% |
| Parabolic SAR step=0.015, maxStep=0.38 |
0.0% | -86.3% | 0.16 | 0.00 | 1.0x | 371 | 45% |
| Buy and hold | 1.3% | -94.3% | 0.25 | 0.01 | 1.3x | 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 (15/27) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line