Trend-Following Backtester · Guide · backtest 한국어
equity · US
UNITIL Corporation backtest
10 trend-following strategies were compared on the full daily history of UNITIL Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -51.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.7%, MDD -53.8%, Sharpe 0.32, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.13 |
4.7% | -53.8% | 0.32 | 0.09 | 6.7x | 5 | 100% |
| ADX / DI 방향성 period=52, threshold=21 |
1.0% | -11.1% | 0.23 | 0.09 | 1.5x | 16 | 4% |
| SMA 크로스오버 fast=56, slow=162 |
1.9% | -36.9% | 0.20 | 0.05 | 2.2x | 67 | 56% |
| Donchian 채널 돌파 entryN=67, exitN=72 |
1.5% | -59.3% | 0.17 | 0.02 | 1.8x | 74 | 57% |
| EMA 크로스오버 fast=38, slow=82 |
1.0% | -57.7% | 0.14 | 0.02 | 1.5x | 105 | 55% |
| 볼린저 밴드 돌파 n=72, k=3.5 |
0.5% | -40.6% | 0.12 | 0.01 | 1.3x | 28 | 9% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=13, mult=4 |
0.5% | -37.4% | 0.11 | 0.01 | 1.3x | 86 | 12% |
| Supertrend period=10, mult=5 |
-0.3% | -69.6% | 0.06 | -0.00 | 0.9x | 179 | 60% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.0% | -86.9% | -0.06 | -0.02 | 0.4x | 323 | 52% |
| MACD fast=20, slow=76, signal=23 |
-5.2% | -93.4% | -0.27 | -0.06 | 0.1x | 389 | 51% |
| Buy and hold | 4.9% | -51.5% | 0.33 | 0.10 | 7.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -13%
- Sell — Sell when the 1-day return drops to -13% or below