Trend-Following Backtester · Guide · backtest 한국어
etf · CH
UBS ETF (CH) - UBS SLI (R) ETF -CHF dis- backtest
10 trend-following strategies were compared on the full daily history of UBS ETF (CH) - UBS SLI (R) ETF -CHF dis-. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.2%, MDD -37.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.5%, drawdown -52.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.2%, MDD -37.3%, Sharpe 0.32, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 14.8%p (CAGR 3.2%, MDD -37.3%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=134 |
3.2% | -37.3% | 0.32 | 0.09 | 1.8x | 37 | 63% |
| EMA 크로스오버 fast=51, slow=218 |
1.7% | -35.6% | 0.20 | 0.05 | 1.4x | 23 | 67% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
0.2% | -2.2% | 0.20 | 0.08 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=39, exitN=52 |
0.8% | -46.0% | 0.13 | 0.02 | 1.2x | 55 | 64% |
| ADX / DI 방향성 period=38, threshold=25 |
0.2% | -4.2% | 0.12 | 0.04 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=118, threshold=-0.04 |
0.5% | -41.3% | 0.10 | 0.01 | 1.1x | 117 | 74% |
| Supertrend period=29, mult=3.4 |
-0.3% | -40.7% | 0.04 | -0.01 | 0.9x | 165 | 67% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=8, mult=2.4 |
-0.9% | -42.5% | -0.05 | -0.02 | 0.8x | 105 | 47% |
| MACD fast=17, slow=33, signal=23 |
-2.1% | -43.9% | -0.14 | -0.05 | 0.7x | 212 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.4% | -47.5% | -0.16 | -0.05 | 0.6x | 171 | 58% |
| Buy and hold | 3.5% | -52.1% | 0.28 | 0.07 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 48-day average falls below the 134-day average