Trend-Following Backtester · Guide · backtest 한국어

equity · DK

UIE PLC backtest

10 trend-following strategies were compared on the full daily history of UIE PLC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.6%, MDD -25.4%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,711 (26.6 years)Costs 0.5%Venue OMXCOPMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 16.3%, drawdown -67.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -25.4%, Sharpe 0.77, 66% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 15.0%, MDD -30.8%, exposure 71%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 42.4%p (CAGR 14.6%, MDD -25.4%, exposure 66%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=58, exitN=61
14.6%-25.4%0.770.5837.5x3666%
EMA 크로스오버
fast=36, slow=207
15.0%-30.8%0.770.4941.2x2371%
SMA 크로스오버
fast=47, slow=96
13.8%-28.7%0.750.4831.3x6460%
볼린저 밴드 돌파
n=73, k=1.6
11.6%-39.5%0.720.2918.5x8644%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=15, mult=2.8
9.1%-39.3%0.630.2310.2x9036%
Supertrend
period=13, mult=4.4
11.1%-49.3%0.620.2316.5x8964%
ADX / DI 방향성
period=30, threshold=12
9.1%-44.3%0.570.2110.2x24850%
ROC 모멘텀
n=123, threshold=0.04
9.2%-50.9%0.560.1810.4x17456%
MACD
fast=23, slow=70, signal=20
8.0%-36.0%0.520.227.7x20549%
Parabolic SAR
step=0.005, maxStep=0.36
7.3%-39.8%0.460.186.4x17354%
Buy and hold16.3%-67.7%0.720.2455.9x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 EMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -17% -34% -51% -68% 2001 2005 2009 2013 2017 2021 2025 Buy and holdEMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -25.4% (2000-12-08 → 2001-06-12), recovered after 224 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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