Trend-Following Backtester · Guide · backtest 한국어
equity · FI
UPM-Kymmene Oyj backtest
10 trend-following strategies were compared on the full daily history of UPM-Kymmene Oyj. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -26.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.4%, drawdown -80.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -26.1%, Sharpe 0.16, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 1.0%, MDD -26.1%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=15, threshold=32 |
1.0% | -26.1% | 0.16 | 0.04 | 1.3x | 58 | 8% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=2.7 |
0.8% | -33.0% | 0.13 | 0.02 | 1.2x | 60 | 10% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.2% | -17.1% | 0.08 | 0.01 | 1.1x | 6 | 2% |
| EMA 크로스오버 fast=33, slow=162 |
-0.9% | -57.2% | 0.05 | -0.02 | 0.8x | 58 | 54% |
| SMA 크로스오버 fast=56, slow=206 |
-1.3% | -57.4% | 0.04 | -0.02 | 0.7x | 40 | 55% |
| Donchian 채널 돌파 entryN=107, exitN=59 |
-1.3% | -57.4% | 0.01 | -0.02 | 0.7x | 46 | 41% |
| MACD fast=16, slow=65, signal=13 |
-2.4% | -81.7% | -0.01 | -0.03 | 0.5x | 339 | 51% |
| Supertrend period=15, mult=4.9 |
-2.3% | -54.9% | -0.02 | -0.04 | 0.5x | 88 | 50% |
| ROC 모멘텀 n=96, threshold=-0.04 |
-3.2% | -70.9% | -0.03 | -0.05 | 0.4x | 278 | 65% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-4.7% | -74.1% | -0.12 | -0.06 | 0.3x | 228 | 54% |
| Buy and hold | 0.4% | -80.2% | 0.17 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 15-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)