Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Parcel Service, Inc. backtest
10 trend-following strategies were compared on the full daily history of United Parcel Service, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -15.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.6%, drawdown -64.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -3.6%, Sharpe 0.43, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 1.3%, MDD -64.1%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 60.8%p (CAGR 1.3%, MDD -15.8%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=3 |
1.0% | -3.6% | 0.43 | 0.27 | 1.3x | 8 | 1% |
| ADX / DI 방향성 period=11, threshold=47 |
1.3% | -15.8% | 0.28 | 0.08 | 1.4x | 34 | 3% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
1.3% | -64.1% | 0.18 | 0.02 | 1.4x | 11 | 100% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=8, mult=3.3 |
0.2% | -8.7% | 0.10 | 0.03 | 1.1x | 8 | 1% |
| Donchian 채널 돌파 entryN=3, exitN=104 |
-0.4% | -66.9% | 0.10 | -0.01 | 0.9x | 93 | 93% |
| MACD fast=21, slow=27, signal=21 |
0.1% | -60.8% | 0.09 | 0.00 | 1.0x | 268 | 50% |
| SMA 크로스오버 fast=43, slow=190 |
-0.2% | -48.5% | 0.07 | -0.00 | 1.0x | 41 | 54% |
| EMA 크로스오버 fast=74, slow=188 |
-0.3% | -50.6% | 0.05 | -0.01 | 0.9x | 33 | 52% |
| Supertrend period=8, mult=3.3 |
-2.5% | -67.5% | -0.06 | -0.04 | 0.5x | 158 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.3% | -70.5% | -0.17 | -0.06 | 0.3x | 230 | 53% |
| Buy and hold | 1.6% | -64.4% | 0.19 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average