Trend-Following Backtester · Guide · backtest 한국어
equity · US
Unum Group backtest
10 trend-following strategies were compared on the full daily history of Unum Group. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -71.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -90.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.0%, MDD -79.2%, Sharpe 0.37, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.0%, MDD -71.4%, exposure 77%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 11.2%p (CAGR 6.0%, MDD -71.4%, exposure 77%).
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=57, slow=120 |
6.0% | -79.2% | 0.37 | 0.08 | 10.0x | 65 | 63% |
| ADX / DI 방향성 period=29, threshold=31 |
1.6% | -17.7% | 0.36 | 0.09 | 1.9x | 16 | 4% |
| Donchian 채널 돌파 entryN=15, exitN=46 |
6.0% | -71.4% | 0.35 | 0.08 | 10.1x | 145 | 77% |
| ROC 모멘텀 n=168, threshold=0.03 |
5.0% | -76.4% | 0.34 | 0.07 | 7.0x | 259 | 58% |
| SMA 크로스오버 fast=34, slow=179 |
5.3% | -73.1% | 0.34 | 0.07 | 7.7x | 63 | 62% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
1.9% | -20.3% | 0.28 | 0.09 | 2.1x | 26 | 11% |
| Supertrend period=13, mult=5 |
2.8% | -65.5% | 0.24 | 0.04 | 3.0x | 133 | 58% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.1% | -73.2% | 0.17 | 0.02 | 1.5x | 337 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=8, mult=4 |
1.0% | -62.0% | 0.15 | 0.02 | 1.5x | 94 | 25% |
| MACD fast=11, slow=53, signal=18 |
-0.3% | -74.1% | 0.10 | -0.00 | 0.9x | 549 | 51% |
| Buy and hold | 6.7% | -90.4% | 0.37 | 0.07 | 13.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 120-day EMA
- Sell — Sell when the 57-day EMA falls below the 120-day EMA