Trend-Following Backtester · Guide · backtest 한국어
equity · US
UDR, Inc. backtest
10 trend-following strategies were compared on the full daily history of UDR, Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.1%, MDD -35.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.3%, drawdown -79.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -17.0%, Sharpe 0.52, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -35.8%, exposure 63%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 62.1%p (CAGR 7.1%, MDD -35.8%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=35 |
2.5% | -17.0% | 0.52 | 0.15 | 3.1x | 4 | 11% |
| SMA 크로스오버 fast=81, slow=116 |
7.1% | -35.8% | 0.49 | 0.20 | 24.2x | 101 | 63% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
1.1% | -9.9% | 0.42 | 0.11 | 1.7x | 26 | 4% |
| Donchian 채널 돌파 entryN=26, exitN=178 |
6.7% | -48.6% | 0.41 | 0.14 | 20.4x | 43 | 82% |
| EMA 크로스오버 fast=77, slow=383 |
5.7% | -42.9% | 0.40 | 0.13 | 12.9x | 26 | 68% |
| ROC 모멘텀 n=128, threshold=-0.09 |
5.0% | -61.5% | 0.35 | 0.08 | 9.6x | 217 | 84% |
| Supertrend period=12, mult=3.1 |
0.5% | -69.4% | 0.12 | 0.01 | 1.2x | 244 | 61% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.0% | -80.3% | 0.10 | 0.00 | 1.0x | 346 | 58% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=9, mult=3.7 |
-0.2% | -15.1% | -0.09 | -0.01 | 0.9x | 12 | 1% |
| MACD fast=31, slow=55, signal=18 |
-4.2% | -94.4% | -0.13 | -0.04 | 0.1x | 444 | 50% |
| Buy and hold | 6.3% | -79.1% | 0.36 | 0.08 | 17.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)