Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Uni-President Enterprises Corp. backtest
10 trend-following strategies were compared on the full daily history of Uni-President Enterprises Corp.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.5%, MDD -38.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -67.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -41.1%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 6.5%, MDD -38.9%, exposure 60%).
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=43, slow=143 |
8.2% | -41.1% | 0.46 | 0.20 | 8.1x | 43 | 56% |
| EMA 크로스오버 fast=55, slow=269 |
6.5% | -38.9% | 0.39 | 0.17 | 5.4x | 23 | 60% |
| Supertrend period=13, mult=4.6 |
3.4% | -48.4% | 0.26 | 0.07 | 2.4x | 75 | 57% |
| Donchian 채널 돌파 entryN=59, exitN=82 |
3.0% | -46.8% | 0.25 | 0.06 | 2.2x | 45 | 61% |
| ADX / DI 방향성 period=37, threshold=28 |
1.3% | -25.7% | 0.20 | 0.05 | 1.4x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=113, atrPeriod=10, mult=3.2 |
0.9% | -47.6% | 0.14 | 0.02 | 1.3x | 61 | 36% |
| ROC 모멘텀 n=183, threshold=-0.02 |
-0.3% | -65.2% | 0.10 | -0.01 | 0.9x | 214 | 64% |
| 볼린저 밴드 돌파 n=53, k=2.3 |
-0.9% | -61.6% | 0.03 | -0.02 | 0.8x | 98 | 29% |
| MACD fast=23, slow=62, signal=23 |
-3.8% | -78.8% | -0.09 | -0.05 | 0.4x | 249 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.3% | -74.8% | -0.10 | -0.06 | 0.3x | 192 | 52% |
| Buy and hold | 6.7% | -67.1% | 0.37 | 0.10 | 5.5x | 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 43-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 43-day average falls below the 143-day average