Trend-Following Backtester · Guide · backtest 한국어
equity · US
UFP Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of UFP Technologies, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.2%, MDD -68.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -88.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.2%, MDD -68.4%, Sharpe 0.45, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 20.2%p (CAGR 11.2%, MDD -68.4%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=66, slow=306 |
11.2% | -68.4% | 0.45 | 0.16 | 32.2x | 27 | 64% |
| SMA 크로스오버 fast=27, slow=219 |
10.4% | -73.6% | 0.43 | 0.14 | 25.0x | 47 | 61% |
| Donchian 채널 돌파 entryN=59, exitN=78 |
6.5% | -84.7% | 0.38 | 0.08 | 7.9x | 49 | 66% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.5% | -94.0% | 0.15 | -0.05 | 0.2x | 236 | 50% |
| ROC 모멘텀 n=152, threshold=-0.06 |
-5.5% | -99.4% | 0.14 | -0.06 | 0.2x | 325 | 69% |
| ADX / DI 방향성 period=30, threshold=18 |
-1.4% | -72.9% | 0.12 | -0.02 | 0.6x | 114 | 19% |
| Supertrend period=28, mult=5 |
-10.3% | -99.1% | 0.06 | -0.10 | 0.0x | 109 | 57% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
-2.6% | -88.3% | 0.06 | -0.03 | 0.4x | 82 | 14% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=4 |
-2.4% | -80.2% | 0.04 | -0.03 | 0.5x | 54 | 12% |
| MACD fast=18, slow=32, signal=18 |
-15.8% | -99.9% | -0.08 | -0.16 | 0.0x | 422 | 51% |
| Buy and hold | 12.3% | -88.5% | 0.52 | 0.14 | 44.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 66-day EMA crosses above the 306-day EMA
- Sell — Sell when the 66-day EMA falls below the 306-day EMA