Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Unilever PLC backtest
10 trend-following strategies were compared on the full daily history of Unilever PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -98.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -98.5%, Sharpe 1.03, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.09 |
0.4% | -98.5% | 1.03 | 0.00 | 1.2x | 207 | 98% |
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=1, exitN=178 |
-9.0% | -100.0% | 1.01 | -0.09 | 0.0x | 89 | 98% |
| Supertrend period=3, mult=4.8 |
-60.9% | -100.0% | 0.92 | -0.61 | 0.0x | 163 | 61% |
| SMA 크로스오버 fast=46, slow=47 |
-64.0% | -100.0% | 0.91 | -0.64 | 0.0x | 843 | 63% |
| MACD fast=10, slow=24, signal=17 |
-83.5% | -100.0% | 0.82 | -0.84 | 0.0x | 615 | 52% |
| EMA 크로스오버 fast=56, slow=175 |
-90.2% | -100.0% | 0.70 | -0.90 | 0.0x | 102 | 56% |
| 볼린저 밴드 돌파 n=6, k=0.6 |
-95.8% | -100.0% | 0.63 | -0.96 | 0.0x | 1957 | 46% |
| ADX / DI 방향성 period=6, threshold=11 |
-97.5% | -100.0% | 0.51 | -0.98 | 0.0x | 1411 | 48% |
| Parabolic SAR step=0.045, maxStep=0.18 |
-97.4% | -100.0% | 0.51 | -0.97 | 0.0x | 1241 | 46% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=9, mult=1.3 |
-98.6% | -100.0% | 0.33 | -0.99 | 0.0x | 455 | 29% |
| Buy and hold | 4.1% | -98.5% | 1.03 | 0.04 | 4.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -9%
- Sell — Sell when the 8-day return drops to -9% or below