Trend-Following Backtester · Guide · backtest 한국어
equity · US
UWM Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of UWM Holdings Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -23.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.7%, drawdown -87.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.9%, MDD -27.0%, Sharpe 0.41, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.6%p higher than buy and hold, while drawdown improves by 60.4%p (CAGR 2.7%, MDD -23.9%, exposure 6%).
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=25, k=2.6 |
5.9% | -27.0% | 0.41 | 0.22 | 1.4x | 20 | 14% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=12, mult=3.4 |
2.7% | -23.9% | 0.29 | 0.11 | 1.2x | 8 | 6% |
| Supertrend period=23, mult=2.4 |
1.0% | -42.0% | 0.18 | 0.02 | 1.1x | 56 | 41% |
| ROC 모멘텀 n=109, threshold=-0.04 |
-2.7% | -53.0% | 0.07 | -0.05 | 0.8x | 40 | 42% |
| Donchian 채널 돌파 entryN=84, exitN=36 |
-2.4% | -51.5% | 0.04 | -0.05 | 0.9x | 12 | 31% |
| SMA 크로스오버 fast=8, slow=155 |
-3.5% | -48.6% | 0.02 | -0.07 | 0.8x | 14 | 37% |
| MACD fast=10, slow=14, signal=19 |
-6.8% | -64.5% | -0.02 | -0.10 | 0.6x | 107 | 53% |
| EMA 크로스오버 fast=42, slow=110 |
-4.7% | -50.4% | -0.02 | -0.09 | 0.7x | 12 | 37% |
| Parabolic SAR step=0.035, maxStep=0.3 |
-6.8% | -55.9% | -0.04 | -0.12 | 0.6x | 185 | 46% |
| ADX / DI 방향성 period=32, threshold=32 |
-1.2% | -27.1% | -0.12 | -0.05 | 0.9x | 2 | 2% |
| Buy and hold | -23.7% | -87.4% | -0.30 | -0.27 | 0.2x | 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 25-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 25-day middle average