Trend-Following Backtester · Guide · backtest 한국어
etf · CH
UBS (CH) Property Fund - Direct LivingPlus Anteile backtest
10 trend-following strategies were compared on the full daily history of UBS (CH) Property Fund - Direct LivingPlus Anteile. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.0%, drawdown -40.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.2%, MDD -3.2%, Sharpe 0.18, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.4%, MDD -31.6%, exposure 59%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=22, mult=3.9 |
0.2% | -3.2% | 0.18 | 0.08 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=75, slow=212 |
1.4% | -31.6% | 0.16 | 0.04 | 1.3x | 22 | 59% |
| EMA 크로스오버 fast=52, slow=214 |
0.1% | -37.2% | 0.08 | 0.00 | 1.0x | 30 | 59% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
0.0% | -9.2% | 0.03 | 0.00 | 1.0x | 6 | 1% |
| ROC 모멘텀 n=56, threshold=0.2 |
-0.0% | -1.4% | -0.05 | -0.01 | 1.0x | 4 | 0% |
| ADX / DI 방향성 period=27, threshold=35 |
-0.0% | -1.2% | -0.07 | -0.01 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=110, exitN=44 |
-3.6% | -56.2% | -0.17 | -0.06 | 0.5x | 32 | 41% |
| Supertrend period=27, mult=4.9 |
-8.5% | -81.8% | -0.58 | -0.10 | 0.2x | 63 | 69% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-9.7% | -85.2% | -0.76 | -0.11 | 0.1x | 152 | 57% |
| MACD fast=18, slow=47, signal=18 |
-13.4% | -93.3% | -1.15 | -0.14 | 0.1x | 252 | 51% |
| Buy and hold | 2.0% | -40.1% | 0.20 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average