Trend-Following Backtester · Guide · backtest 한국어
etf · CH
UBS ETF (CH) - UBS Gold ETF Units -USD acc- backtest
10 trend-following strategies were compared on the full daily history of UBS ETF (CH) - UBS Gold ETF Units -USD acc-. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -73.9%).
Sharpe leader (same as main): Supertrend — CAGR -21.7%, MDD -99.6%, Sharpe 1.71, 58% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.2%, MDD -4.7%, exposure 3%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.7 |
-21.7% | -99.6% | 1.71 | -0.22 | 0.0x | 96 | 58% |
| Donchian 채널 돌파 entryN=14, exitN=76 |
-29.4% | -100.0% | 1.53 | -0.29 | 0.0x | 53 | 85% |
| SMA 크로스오버 fast=48, slow=136 |
-20.1% | -99.7% | 1.45 | -0.20 | 0.0x | 38 | 63% |
| EMA 크로스오버 fast=58, slow=173 |
-52.5% | -100.0% | 1.28 | -0.53 | 0.0x | 36 | 57% |
| ROC 모멘텀 Hold-like · Exposure 96% n=13, threshold=-0.12 |
-91.8% | -100.0% | 1.14 | -0.92 | 0.0x | 199 | 96% |
| MACD fast=13, slow=28, signal=17 |
-98.7% | -100.0% | 0.18 | -0.99 | 0.0x | 323 | 51% |
| ADX / DI 방향성 period=36, threshold=39 |
0.2% | -4.7% | 0.13 | 0.04 | 1.0x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=4 |
-6.9% | -89.3% | 0.07 | -0.08 | 0.3x | 38 | 9% |
| 볼린저 밴드 돌파 n=41, k=3.1 |
-4.1% | -69.5% | -0.06 | -0.06 | 0.5x | 22 | 13% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-98.6% | -100.0% | -0.06 | -0.99 | 0.0x | 228 | 46% |
| Buy and hold | 6.3% | -73.9% | 1.78 | 0.09 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)