Trend-Following Backtester · Guide · backtest 한국어
equity · US
Union Pacific Corporation backtest
10 trend-following strategies were compared on the full daily history of Union Pacific Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.8%, MDD -48.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -67.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -48.2%, Sharpe 0.46, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 19.3%p (CAGR 7.8%, MDD -48.2%, exposure 69%).
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=70, slow=117 |
7.8% | -48.2% | 0.46 | 0.16 | 32.7x | 55 | 69% |
| Donchian 채널 돌파 entryN=89, exitN=88 |
7.4% | -37.8% | 0.46 | 0.20 | 27.7x | 55 | 66% |
| SMA 크로스오버 fast=40, slow=144 |
7.6% | -47.6% | 0.46 | 0.16 | 29.8x | 81 | 67% |
| ROC 모멘텀 n=159, threshold=-0.11 |
7.4% | -52.9% | 0.43 | 0.14 | 27.8x | 167 | 83% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.6 |
0.5% | -22.6% | 0.17 | 0.02 | 1.3x | 12 | 1% |
| Supertrend period=25, mult=3.3 |
1.0% | -66.4% | 0.15 | 0.02 | 1.6x | 317 | 58% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.7% | -30.5% | 0.15 | 0.02 | 1.4x | 24 | 4% |
| ADX / DI 방향성 period=27, threshold=28 |
0.2% | -28.4% | 0.06 | 0.01 | 1.1x | 44 | 5% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.0% | -88.8% | -0.01 | -0.02 | 0.4x | 417 | 56% |
| MACD fast=17, slow=35, signal=18 |
-4.2% | -95.9% | -0.14 | -0.04 | 0.1x | 617 | 50% |
| Buy and hold | 10.3% | -67.5% | 0.49 | 0.15 | 96.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 117-day EMA
- Sell — Sell when the 70-day EMA falls below the 117-day EMA