Trend-Following Backtester · Guide · backtest 한국어
equity · US
Uniti Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Uniti Group Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.7%, MDD -18.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.5%, drawdown -91.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.1%, MDD -47.2%, Sharpe 0.34, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 1.7%, MDD -18.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=18, mult=3 |
4.1% | -47.2% | 0.34 | 0.09 | 1.6x | 26 | 14% |
| Supertrend period=25, mult=3.7 |
3.5% | -64.9% | 0.27 | 0.05 | 1.5x | 50 | 49% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
1.7% | -18.2% | 0.25 | 0.09 | 1.2x | 16 | 6% |
| ADX / DI 방향성 period=26, threshold=13 |
2.7% | -46.5% | 0.23 | 0.06 | 1.3x | 128 | 36% |
| ROC 모멘텀 n=106, threshold=0 |
0.2% | -54.8% | 0.16 | 0.00 | 1.0x | 73 | 41% |
| SMA 크로스오버 fast=49, slow=109 |
-1.4% | -65.7% | 0.13 | -0.02 | 0.9x | 23 | 40% |
| Donchian 채널 돌파 entryN=33, exitN=79 |
-2.6% | -63.0% | 0.11 | -0.04 | 0.7x | 28 | 59% |
| MACD fast=14, slow=48, signal=15 |
-3.9% | -64.0% | 0.08 | -0.06 | 0.6x | 128 | 50% |
| EMA 크로스오버 fast=45, slow=185 |
-5.7% | -72.1% | -0.10 | -0.08 | 0.5x | 17 | 40% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-12.8% | -86.7% | -0.24 | -0.15 | 0.2x | 300 | 50% |
| Buy and hold | -13.5% | -91.9% | -0.01 | -0.15 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 23-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 23-day average