Trend-Following Backtester · Guide · backtest 한국어
equity · US
Universal Technical Institute Inc backtest
10 trend-following strategies were compared on the full daily history of Universal Technical Institute Inc. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -29.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.8%, drawdown -96.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.5%, MDD -50.3%, Sharpe 0.35, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 3.5%, MDD -29.7%, exposure 7%).
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=34, threshold=20 |
4.5% | -50.3% | 0.35 | 0.09 | 2.7x | 50 | 14% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
3.5% | -29.7% | 0.32 | 0.12 | 2.2x | 22 | 7% |
| Donchian 채널 돌파 entryN=2, exitN=82 |
2.9% | -95.1% | 0.30 | 0.03 | 1.9x | 105 | 93% |
| SMA 크로스오버 fast=99, slow=329 |
4.0% | -67.4% | 0.29 | 0.06 | 2.4x | 19 | 41% |
| Supertrend period=21, mult=2.6 |
1.1% | -84.0% | 0.21 | 0.01 | 1.3x | 178 | 51% |
| ROC 모멘텀 n=90, threshold=0.08 |
1.0% | -68.1% | 0.18 | 0.02 | 1.3x | 175 | 36% |
| EMA 크로스오버 fast=42, slow=185 |
-1.4% | -85.7% | 0.13 | -0.02 | 0.7x | 41 | 45% |
| MACD fast=17, slow=36, signal=16 |
-2.4% | -79.7% | 0.12 | -0.03 | 0.6x | 266 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=4 |
0.3% | -52.6% | 0.11 | 0.00 | 1.1x | 46 | 20% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-5.7% | -95.3% | 0.02 | -0.06 | 0.3x | 485 | 51% |
| Buy and hold | 1.8% | -96.8% | 0.29 | 0.02 | 1.5x | 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, 34-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)