Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Universal Music Group N.V. backtest
10 trend-following strategies were compared on the full daily history of Universal Music Group N.V.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -5.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.7%, drawdown -52.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -5.4%, Sharpe 0.39, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 2.0%, MDD -12.0%, exposure 2%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 46.9%p (CAGR 0.9%, MDD -5.4%, exposure 2%).
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=35, threshold=23 |
1.4% | -5.4% | 0.39 | 0.25 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
0.9% | -5.4% | 0.32 | 0.17 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=7, threshold=0.1 |
2.0% | -12.0% | 0.31 | 0.17 | 1.1x | 18 | 2% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=3 |
0.5% | -16.8% | 0.10 | 0.03 | 1.0x | 12 | 23% |
| Donchian 채널 돌파 entryN=65, exitN=40 |
-0.4% | -28.6% | 0.07 | -0.01 | 1.0x | 6 | 32% |
| SMA 크로스오버 fast=50, slow=121 |
-1.5% | -29.0% | 0.02 | -0.05 | 0.9x | 14 | 41% |
| Supertrend period=7, mult=4.3 |
-3.4% | -33.5% | -0.06 | -0.10 | 0.8x | 18 | 47% |
| EMA 크로스오버 fast=18, slow=156 |
-4.1% | -40.9% | -0.12 | -0.10 | 0.8x | 8 | 38% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-8.8% | -53.1% | -0.32 | -0.17 | 0.6x | 40 | 38% |
| MACD fast=15, slow=41, signal=18 |
-10.8% | -58.6% | -0.34 | -0.18 | 0.6x | 61 | 43% |
| Buy and hold | -10.7% | -52.3% | -0.16 | -0.20 | 0.6x | 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, 35-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)