Trend-Following Backtester · Guide · backtest 한국어
etf · CH
UBS (CH) Property Fund – Direct Mixed Urban A backtest
10 trend-following strategies were compared on the full daily history of UBS (CH) Property Fund – Direct Mixed Urban A. 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 8.9%, drawdown -41.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.8%, MDD -14.2%, Sharpe 0.25, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.0%, MDD -62.0%, exposure 100%. 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=20, mult=3.9 |
0.8% | -14.2% | 0.25 | 0.05 | 1.1x | 8 | 10% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.09 |
3.0% | -62.0% | 0.24 | 0.05 | 1.7x | 13 | 100% |
| ADX / DI 방향성 period=16, threshold=50 |
0.5% | -6.9% | 0.21 | 0.08 | 1.1x | 2 | 7% |
| SMA 크로스오버 fast=75, slow=206 |
1.5% | -29.6% | 0.19 | 0.05 | 1.3x | 15 | 58% |
| EMA 크로스오버 fast=42, slow=215 |
1.4% | -25.1% | 0.19 | 0.06 | 1.3x | 19 | 61% |
| 볼린저 밴드 돌파 n=13, k=3.4 |
0.4% | -4.9% | 0.18 | 0.09 | 1.1x | 2 | 6% |
| Supertrend period=3, mult=5 |
0.7% | -69.7% | 0.14 | 0.01 | 1.1x | 54 | 63% |
| Donchian 채널 돌파 entryN=110, exitN=9 |
-0.2% | -24.4% | -0.01 | -0.01 | 1.0x | 44 | 21% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.3% | -70.7% | -0.13 | -0.05 | 0.6x | 94 | 60% |
| MACD fast=27, slow=44, signal=23 |
-2.7% | -44.4% | -0.23 | -0.06 | 0.6x | 106 | 47% |
| Buy and hold | 8.9% | -41.2% | 0.43 | 0.22 | 4.4x | 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 23-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 23-day average