Trend-Following Backtester · Guide · backtest 한국어
equity · AT
UNIQA Insurance Group AG backtest
10 trend-following strategies were compared on the full daily history of UNIQA Insurance Group AG. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.1%, MDD -11.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.8%, drawdown -83.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -11.3%, Sharpe 0.57, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.5%, MDD -53.7%, exposure 36%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 72.2%p (CAGR 4.1%, MDD -11.3%, exposure 8%).
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=3.4 |
4.1% | -11.3% | 0.57 | 0.37 | 2.9x | 32 | 8% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=42, mult=2.8 |
4.4% | -34.9% | 0.45 | 0.13 | 3.1x | 86 | 17% |
| ADX / DI 방향성 period=27, threshold=26 |
3.0% | -20.4% | 0.45 | 0.15 | 2.2x | 32 | 7% |
| Donchian 채널 돌파 entryN=96, exitN=31 |
4.5% | -53.7% | 0.38 | 0.08 | 3.2x | 55 | 36% |
| Parabolic SAR step=0.005, maxStep=0.04 |
4.4% | -53.8% | 0.34 | 0.08 | 3.1x | 174 | 52% |
| EMA 크로스오버 fast=25, slow=84 |
4.1% | -68.4% | 0.32 | 0.06 | 2.9x | 73 | 52% |
| SMA 크로스오버 fast=10, slow=116 |
3.6% | -75.5% | 0.29 | 0.05 | 2.6x | 93 | 52% |
| MACD fast=17, slow=54, signal=17 |
3.2% | -54.1% | 0.27 | 0.06 | 2.3x | 258 | 52% |
| ROC 모멘텀 n=95, threshold=-0.03 |
1.6% | -82.0% | 0.18 | 0.02 | 1.5x | 217 | 60% |
| Supertrend period=11, mult=3 |
1.4% | -60.0% | 0.16 | 0.02 | 1.4x | 168 | 49% |
| Buy and hold | 2.8% | -83.6% | 0.23 | 0.03 | 2.1x | 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 (3.4× volatility)
- Sell — Sell when the close falls back to the 25-day middle average