Trend-Following Backtester · Guide · backtest 한국어
etf · CH
UBS ETF (CH) SXI Real Estate Funds (CHF) A-dis backtest
10 trend-following strategies were compared on the full daily history of UBS ETF (CH) SXI Real Estate Funds (CHF) A-dis. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
3 of 10 beat buy and hold (CAGR -8.3%, drawdown -86.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -9.6%, MDD -87.4%, Sharpe 0.45, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ROC 모멘텀 — CAGR 2.5%, MDD -86.6%, exposure 95%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 Hold-like · Exposure 96% entryN=1, exitN=76 |
-9.6% | -87.4% | 0.45 | -0.11 | 0.2x | 65 | 96% |
| ROC 모멘텀 Hold-like · Exposure 95% n=96, threshold=-0.12 |
2.5% | -86.6% | 0.37 | 0.03 | 1.5x | 21 | 95% |
| MACD fast=27, slow=51, signal=30 |
-1.1% | -89.4% | 0.36 | -0.01 | 0.8x | 113 | 52% |
| SMA 크로스오버 fast=37, slow=51 |
-5.3% | -94.3% | 0.34 | -0.06 | 0.4x | 107 | 59% |
| EMA 크로스오버 fast=10, slow=27 |
-15.4% | -94.1% | 0.32 | -0.16 | 0.1x | 159 | 56% |
| Supertrend period=8, mult=4.9 |
-30.8% | -99.8% | 0.21 | -0.31 | 0.0x | 57 | 56% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-35.8% | -99.9% | 0.17 | -0.36 | 0.0x | 375 | 52% |
| ADX / DI 방향성 period=9, threshold=35 |
-14.9% | -93.6% | 0.14 | -0.16 | 0.1x | 146 | 16% |
| 볼린저 밴드 돌파 n=64, k=3 |
-21.2% | -98.2% | 0.13 | -0.22 | 0.0x | 22 | 12% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=2.6 |
-37.7% | -100.0% | 0.06 | -0.38 | 0.0x | 54 | 15% |
| Buy and hold | -8.3% | -86.3% | 0.46 | -0.10 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 1 days
- Sell — Sell when price breaks below the lowest low of the last 76 days