Trend-Following Backtester · Guide · backtest 한국어
equity · CH
UBS Group AG backtest
10 trend-following strategies were compared on the full daily history of UBS Group AG. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -44.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.5%, drawdown -90.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 4.8%, MDD -64.9%, Sharpe 0.32, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 2.2%, MDD -44.5%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.32 |
4.8% | -64.9% | 0.32 | 0.07 | 4.2x | 269 | 54% |
| 볼린저 밴드 돌파 n=22, k=2.3 |
2.2% | -44.5% | 0.25 | 0.05 | 1.9x | 159 | 22% |
| EMA 크로스오버 fast=53, slow=425 |
2.8% | -71.8% | 0.24 | 0.04 | 2.4x | 33 | 57% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=14, mult=1.9 |
1.8% | -53.1% | 0.21 | 0.03 | 1.8x | 198 | 23% |
| SMA 크로스오버 fast=22, slow=217 |
1.9% | -67.1% | 0.19 | 0.03 | 1.8x | 63 | 57% |
| MACD fast=17, slow=40, signal=18 |
1.2% | -78.8% | 0.16 | 0.02 | 1.5x | 356 | 49% |
| Donchian 채널 돌파 entryN=86, exitN=8 |
0.9% | -43.9% | 0.14 | 0.02 | 1.3x | 131 | 19% |
| Supertrend period=27, mult=4.3 |
0.8% | -77.5% | 0.14 | 0.01 | 1.3x | 145 | 57% |
| ROC 모멘텀 n=108, threshold=-0.04 |
0.2% | -83.4% | 0.11 | 0.00 | 1.0x | 267 | 65% |
| ADX / DI 방향성 period=26, threshold=36 |
0.1% | -7.9% | 0.04 | 0.01 | 1.0x | 6 | 1% |
| Buy and hold | 2.5% | -90.7% | 0.24 | 0.03 | 2.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots