Trend-Following Backtester · Guide · backtest 한국어
equity · FR
UBISOFT Entertainment backtest
10 trend-following strategies were compared on the full daily history of UBISOFT Entertainment. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -19.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.0%, drawdown -96.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.3%, MDD -46.5%, Sharpe 0.66, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.3%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 1.2%, MDD -19.5%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=418 |
14.3% | -46.5% | 0.66 | 0.31 | 35.2x | 10 | 45% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=29, mult=3.9 |
7.4% | -36.1% | 0.53 | 0.21 | 6.7x | 46 | 18% |
| 볼린저 밴드 돌파 n=63, k=2.3 |
7.9% | -53.9% | 0.47 | 0.15 | 7.6x | 64 | 27% |
| EMA 크로스오버 fast=30, slow=175 |
9.0% | -57.4% | 0.46 | 0.16 | 9.8x | 32 | 46% |
| Donchian 채널 돌파 entryN=82, exitN=60 |
7.6% | -70.8% | 0.42 | 0.11 | 7.0x | 37 | 40% |
| ROC 모멘텀 n=140, threshold=0.11 |
5.1% | -62.1% | 0.33 | 0.08 | 3.7x | 150 | 37% |
| Supertrend period=18, mult=3.8 |
5.0% | -88.1% | 0.31 | 0.06 | 3.7x | 134 | 52% |
| MACD fast=14, slow=40, signal=15 |
2.8% | -85.6% | 0.25 | 0.03 | 2.1x | 336 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.0% | -84.2% | 0.22 | -0.00 | 1.0x | 334 | 52% |
| ADX / DI 방향성 period=32, threshold=30 |
1.2% | -19.5% | 0.22 | 0.06 | 1.4x | 14 | 4% |
| Buy and hold | -8.0% | -96.7% | 0.13 | -0.08 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 418-day average
- Sell — Sell (to cash) when the 59-day average falls below the 418-day average