Trend-Following Backtester · Guide · backtest 한국어
equity · US
Uranium Energy Corp. backtest
10 trend-following strategies were compared on the full daily history of Uranium Energy Corp.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.5%, MDD -61.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.9%, drawdown -97.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.1%, MDD -66.6%, Sharpe 0.55, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 11.5%, MDD -61.3%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.4 |
16.1% | -66.6% | 0.55 | 0.24 | 18.0x | 113 | 25% |
| Donchian 채널 돌파 entryN=14, exitN=56 |
11.8% | -92.4% | 0.49 | 0.13 | 8.6x | 67 | 74% |
| MACD fast=18, slow=51, signal=24 |
13.0% | -77.7% | 0.49 | 0.17 | 10.8x | 185 | 51% |
| ADX / DI 방향성 period=24, threshold=21 |
11.5% | -61.3% | 0.46 | 0.19 | 8.3x | 78 | 19% |
| SMA 크로스오버 fast=8, slow=45 |
11.0% | -90.2% | 0.46 | 0.12 | 7.6x | 147 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
10.5% | -69.7% | 0.45 | 0.15 | 7.0x | 145 | 45% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=3.1 |
9.8% | -72.0% | 0.43 | 0.14 | 6.1x | 52 | 21% |
| ROC 모멘텀 n=31, threshold=0.13 |
9.7% | -71.1% | 0.42 | 0.14 | 6.0x | 261 | 28% |
| Supertrend period=12, mult=2.9 |
6.1% | -80.9% | 0.38 | 0.08 | 3.2x | 125 | 54% |
| EMA 크로스오버 fast=30, slow=71 |
2.0% | -94.4% | 0.29 | 0.02 | 1.5x | 66 | 46% |
| Buy and hold | 2.9% | -97.4% | 0.43 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 25-day middle average