Trend-Following Backtester · Guide · backtest 한국어
equity · US
Unity Software Inc. backtest
10 trend-following strategies were compared on the full daily history of Unity Software Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -19.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.3%, drawdown -93.1%).
Sharpe leader (same as main): Supertrend — CAGR 34.4%, MDD -42.7%, Sharpe 0.85, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 46.7%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 3.8%, MDD -19.9%, exposure 3%).
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=12, mult=2 |
34.4% | -42.7% | 0.85 | 0.81 | 5.7x | 61 | 44% |
| SMA 크로스오버 fast=17, slow=42 |
10.0% | -77.0% | 0.44 | 0.13 | 1.8x | 37 | 46% |
| MACD fast=17, slow=24, signal=12 |
8.3% | -62.6% | 0.41 | 0.13 | 1.6x | 83 | 52% |
| EMA 크로스오버 fast=9, slow=31 |
7.6% | -68.9% | 0.39 | 0.11 | 1.5x | 43 | 46% |
| Parabolic SAR step=0.01, maxStep=0.06 |
6.5% | -66.1% | 0.37 | 0.10 | 1.4x | 71 | 49% |
| ADX / DI 방향성 period=22, threshold=33 |
3.8% | -19.9% | 0.37 | 0.19 | 1.2x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=28, mult=1.2 |
6.9% | -44.2% | 0.37 | 0.16 | 1.5x | 53 | 33% |
| 볼린저 밴드 돌파 n=41, k=1.2 |
5.9% | -65.1% | 0.34 | 0.09 | 1.4x | 39 | 35% |
| Donchian 채널 돌파 entryN=24, exitN=17 |
1.3% | -76.2% | 0.25 | 0.02 | 1.1x | 33 | 43% |
| ROC 모멘텀 n=106, threshold=0.03 |
-4.3% | -72.9% | 0.09 | -0.06 | 0.8x | 47 | 36% |
| Buy and hold | -12.3% | -93.1% | 0.21 | -0.13 | 0.5x | 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) — 12-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)