Trend-Following Backtester · Guide · backtest 한국어
equity · IN
UFlex Limited backtest
10 trend-following strategies were compared on the full daily history of UFlex Limited. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.1%, MDD -43.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.9%, drawdown -84.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.1%, MDD -43.4%, Sharpe 0.72, 39% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.5%, MDD -58.7%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 19.1%, MDD -43.4%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=1.7 |
19.1% | -43.4% | 0.72 | 0.44 | 67.5x | 117 | 39% |
| EMA 크로스오버 fast=8, slow=29 |
19.5% | -58.7% | 0.70 | 0.33 | 73.1x | 183 | 50% |
| 볼린저 밴드 돌파 n=53, k=1 |
18.7% | -51.7% | 0.70 | 0.36 | 61.5x | 139 | 42% |
| ADX / DI 방향성 period=32, threshold=15 |
16.8% | -51.6% | 0.66 | 0.33 | 42.2x | 105 | 39% |
| SMA 크로스오버 fast=36, slow=101 |
17.6% | -65.9% | 0.64 | 0.27 | 50.1x | 53 | 51% |
| ROC 모멘텀 n=76, threshold=-0.01 |
17.1% | -63.0% | 0.63 | 0.27 | 44.9x | 211 | 54% |
| Donchian 채널 돌파 entryN=100, exitN=67 |
15.1% | -64.0% | 0.59 | 0.24 | 29.5x | 27 | 48% |
| MACD fast=5, slow=40, signal=18 |
13.9% | -56.9% | 0.55 | 0.24 | 22.9x | 413 | 49% |
| Supertrend period=22, mult=3.2 |
11.9% | -61.2% | 0.50 | 0.19 | 14.9x | 135 | 48% |
| Parabolic SAR step=0.025, maxStep=0.12 |
10.4% | -67.4% | 0.46 | 0.15 | 10.8x | 503 | 49% |
| Buy and hold | 12.9% | -84.8% | 0.49 | 0.15 | 18.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 52-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 52-day average