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. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.2%, MDD -32.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.9%, drawdown -52.1%).
Sharpe leader (same as main): Supertrend — CAGR 28.9%, MDD -48.9%, Sharpe 0.92, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 3.3%p (CAGR 22.2%, MDD -32.7%, exposure 44%).
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 |
28.9% | -48.9% | 0.92 | 0.59 | 5.5x | 25 | 52% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=10, mult=1.4 |
22.2% | -32.7% | 0.80 | 0.68 | 3.9x | 53 | 44% |
| ROC 모멘텀 n=31, threshold=-0.06 |
25.7% | -48.8% | 0.79 | 0.53 | 4.7x | 89 | 65% |
| SMA 크로스오버 fast=6, slow=62 |
23.8% | -40.4% | 0.79 | 0.59 | 4.2x | 37 | 55% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
21.1% | -39.9% | 0.76 | 0.53 | 3.6x | 37 | 43% |
| ADX / DI 방향성 period=32, threshold=15 |
19.0% | -30.0% | 0.76 | 0.63 | 3.2x | 30 | 33% |
| MACD fast=18, slow=54, signal=17 |
21.0% | -43.2% | 0.74 | 0.49 | 3.6x | 67 | 46% |
| EMA 크로스오버 fast=14, slow=28 |
21.1% | -45.0% | 0.72 | 0.47 | 3.6x | 43 | 55% |
| Donchian 채널 돌파 entryN=24, exitN=56 |
20.0% | -61.1% | 0.66 | 0.33 | 3.4x | 19 | 70% |
| Parabolic SAR step=0.005, maxStep=0.06 |
17.9% | -57.0% | 0.66 | 0.31 | 3.0x | 59 | 51% |
| Buy and hold | 24.9% | -52.1% | 0.71 | 0.48 | 4.5x | 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)