Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Yubico AB backtest
10 trend-following strategies were compared on the full daily history of Yubico AB. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 27.8%, MDD -29.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.1%, drawdown -90.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.0%, MDD -35.2%, Sharpe 0.98, 45% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 27.8%, MDD -29.5%, exposure 20%).
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=58, slow=92 |
33.0% | -35.2% | 0.98 | 0.94 | 4.8x | 9 | 45% |
| EMA 크로스오버 fast=61, slow=62 |
31.2% | -34.3% | 0.93 | 0.91 | 4.5x | 5 | 42% |
| ROC 모멘텀 n=77, threshold=0.12 |
27.8% | -29.5% | 0.93 | 0.94 | 3.9x | 17 | 20% |
| Supertrend period=10, mult=5 |
25.0% | -37.1% | 0.82 | 0.67 | 3.4x | 9 | 43% |
| Donchian 채널 돌파 entryN=26, exitN=47 |
23.5% | -47.3% | 0.76 | 0.50 | 3.2x | 13 | 49% |
| ADX / DI 방향성 period=35, threshold=11 |
19.9% | -41.3% | 0.70 | 0.48 | 2.7x | 37 | 47% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=29, mult=2 |
15.5% | -37.8% | 0.64 | 0.41 | 2.2x | 25 | 23% |
| 볼린저 밴드 돌파 n=51, k=0.9 |
13.7% | -43.5% | 0.57 | 0.31 | 2.0x | 29 | 34% |
| Parabolic SAR step=0.015, maxStep=0.06 |
11.2% | -56.7% | 0.47 | 0.20 | 1.8x | 71 | 46% |
| MACD fast=14, slow=26, signal=15 |
-15.2% | -88.6% | -0.29 | -0.17 | 0.4x | 81 | 51% |
| Buy and hold | 1.1% | -90.4% | 0.27 | 0.01 | 1.1x | 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 58-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 58-day average falls below the 92-day average