Trend-Following Backtester · Guide · backtest 한국어
equity · IN
UTI Asset Management Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of UTI Asset Management Co. Ltd.. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.3%, MDD -29.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.1%, drawdown -48.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.6%, MDD -7.1%, Sharpe 0.84, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.3%, MDD -29.6%, exposure 54%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 41.9%p (CAGR 18.3%, MDD -29.6%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=40 |
5.6% | -7.1% | 0.84 | 0.79 | 1.4x | 2 | 4% |
| ROC 모멘텀 n=95, threshold=-0.01 |
18.3% | -29.6% | 0.80 | 0.62 | 2.7x | 26 | 54% |
| Supertrend period=7, mult=4.7 |
15.9% | -45.8% | 0.70 | 0.35 | 2.4x | 14 | 61% |
| Donchian 채널 돌파 entryN=36, exitN=79 |
15.4% | -33.6% | 0.66 | 0.46 | 2.3x | 10 | 66% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=23, mult=3.7 |
6.5% | -13.4% | 0.62 | 0.48 | 1.4x | 6 | 9% |
| SMA 크로스오버 fast=52, slow=126 |
12.7% | -34.8% | 0.60 | 0.37 | 2.0x | 10 | 55% |
| EMA 크로스오버 fast=30, slow=83 |
11.5% | -41.9% | 0.56 | 0.27 | 1.9x | 16 | 56% |
| 볼린저 밴드 돌파 n=37, k=2.3 |
8.5% | -19.6% | 0.54 | 0.43 | 1.6x | 26 | 28% |
| MACD fast=14, slow=55, signal=10 |
7.5% | -37.5% | 0.42 | 0.20 | 1.5x | 76 | 49% |
| Parabolic SAR step=0.025, maxStep=0.18 |
5.0% | -30.9% | 0.32 | 0.16 | 1.3x | 124 | 53% |
| Buy and hold | 10.1% | -48.9% | 0.45 | 0.21 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)