Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ubiquiti Inc. backtest
10 trend-following strategies were compared on the full daily history of Ubiquiti Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.4%, MDD -51.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.6%, drawdown -77.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.4%, MDD -51.8%, Sharpe 0.76, 54% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 24.4%, MDD -63.1%, exposure 63%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 24.4%, MDD -51.8%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=45, exitN=41 |
24.4% | -51.8% | 0.76 | 0.47 | 25.7x | 36 | 54% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=1.2 |
22.4% | -53.1% | 0.76 | 0.42 | 20.2x | 110 | 45% |
| EMA 크로스오버 fast=32, slow=163 |
24.4% | -63.1% | 0.75 | 0.39 | 25.9x | 24 | 63% |
| Supertrend period=22, mult=5 |
21.4% | -65.5% | 0.72 | 0.33 | 18.0x | 46 | 55% |
| SMA 크로스오버 fast=30, slow=176 |
21.4% | -60.2% | 0.70 | 0.35 | 17.8x | 26 | 62% |
| ROC 모멘텀 n=149, threshold=-0.03 |
18.7% | -58.9% | 0.64 | 0.32 | 12.8x | 101 | 66% |
| 볼린저 밴드 돌파 n=27, k=1.1 |
16.2% | -57.9% | 0.60 | 0.28 | 9.3x | 159 | 47% |
| MACD fast=13, slow=51, signal=10 |
15.6% | -66.5% | 0.58 | 0.23 | 8.6x | 227 | 53% |
| ADX / DI 방향성 period=19, threshold=14 |
14.7% | -62.9% | 0.57 | 0.23 | 7.7x | 195 | 46% |
| Parabolic SAR step=0.015, maxStep=0.18 |
12.2% | -64.8% | 0.50 | 0.19 | 5.5x | 245 | 53% |
| Buy and hold | 26.6% | -77.5% | 0.72 | 0.34 | 33.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 45 days
- Sell — Sell when price breaks below the lowest low of the last 41 days