Trend-Following Backtester · Guide · backtest 한국어
equity · SA
United Electronics Co. backtest
10 trend-following strategies were compared on the full daily history of United Electronics Co.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.3%, MDD -44.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.8%, drawdown -92.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -44.2%, Sharpe 0.60, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.3%, MDD -59.7%, exposure 77%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 11.3%, MDD -44.2%, exposure 52%).
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=45, slow=209 |
11.3% | -44.2% | 0.60 | 0.26 | 4.5x | 12 | 52% |
| EMA 크로스오버 fast=35, slow=195 |
11.0% | -44.5% | 0.58 | 0.25 | 4.3x | 14 | 52% |
| Donchian 채널 돌파 entryN=12, exitN=47 |
19.3% | -59.7% | 0.55 | 0.32 | 11.9x | 40 | 77% |
| Supertrend period=14, mult=4.7 |
13.8% | -67.6% | 0.45 | 0.20 | 6.1x | 40 | 50% |
| ADX / DI 방향성 period=34, threshold=19 |
12.7% | -59.3% | 0.43 | 0.21 | 5.3x | 30 | 28% |
| ROC 모멘텀 n=89, threshold=0.08 |
9.8% | -60.6% | 0.38 | 0.16 | 3.7x | 100 | 39% |
| 볼린저 밴드 돌파 n=53, k=2.1 |
4.1% | -64.0% | 0.33 | 0.06 | 1.8x | 46 | 34% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=3.3 |
3.9% | -65.0% | 0.32 | 0.06 | 1.7x | 34 | 31% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.3% | -67.8% | 0.16 | -0.00 | 1.0x | 100 | 48% |
| MACD fast=19, slow=73, signal=15 |
-4.6% | -76.5% | -0.01 | -0.06 | 0.5x | 151 | 46% |
| Buy and hold | 5.8% | -92.0% | 0.32 | 0.06 | 2.2x | 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 45-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 45-day average falls below the 209-day average