Trend-Following Backtester · Guide · backtest 한국어
etf · US
Sprott Uranium Miners ETF backtest
10 trend-following strategies were compared on the full daily history of Sprott Uranium Miners ETF. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.1%, MDD -32.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 22.4%, drawdown -52.1%).
Sharpe leader (same as main): Supertrend — CAGR 29.9%, MDD -48.9%, Sharpe 0.94, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 3.3%p (CAGR 22.1%, MDD -32.7%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=4.6 |
29.9% | -48.9% | 0.94 | 0.61 | 5.7x | 24 | 52% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=10, mult=1.4 |
22.1% | -32.7% | 0.80 | 0.68 | 3.8x | 52 | 43% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
21.9% | -39.9% | 0.78 | 0.55 | 3.7x | 36 | 44% |
| SMA 크로스오버 fast=6, slow=62 |
23.5% | -40.4% | 0.78 | 0.58 | 4.1x | 36 | 55% |
| ROC 모멘텀 n=31, threshold=-0.06 |
24.9% | -48.8% | 0.78 | 0.51 | 4.4x | 88 | 65% |
| ADX / DI 방향성 period=32, threshold=15 |
19.2% | -30.0% | 0.76 | 0.64 | 3.2x | 30 | 33% |
| EMA 크로스오버 fast=14, slow=28 |
21.0% | -45.0% | 0.72 | 0.47 | 3.6x | 42 | 55% |
| MACD fast=18, slow=54, signal=17 |
19.3% | -43.2% | 0.70 | 0.45 | 3.2x | 66 | 46% |
| Donchian 채널 돌파 entryN=24, exitN=56 |
20.8% | -61.1% | 0.67 | 0.34 | 3.5x | 18 | 71% |
| Parabolic SAR step=0.005, maxStep=0.06 |
16.6% | -57.0% | 0.63 | 0.29 | 2.8x | 58 | 51% |
| Buy and hold | 22.4% | -52.1% | 0.66 | 0.43 | 3.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)