Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Universal Cables Limited backtest
10 trend-following strategies were compared on the full daily history of Universal Cables Limited. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.4%, MDD -63.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 21.2%, drawdown -86.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.4%, MDD -66.0%, Sharpe 0.75, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.5%, MDD -68.1%, exposure 64%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 24.4%, MDD -63.4%, exposure 54%).
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 n=143, threshold=-0.02 |
25.4% | -66.0% | 0.75 | 0.38 | 232.1x | 159 | 59% |
| Donchian 채널 돌파 entryN=15, exitN=28 |
26.5% | -68.1% | 0.75 | 0.39 | 288.9x | 95 | 64% |
| SMA 크로스오버 fast=11, slow=114 |
24.4% | -63.4% | 0.74 | 0.38 | 191.2x | 81 | 54% |
| EMA 크로스오버 fast=46, slow=64 |
21.4% | -64.2% | 0.68 | 0.33 | 106.6x | 59 | 55% |
| Supertrend period=10, mult=3.8 |
21.7% | -65.0% | 0.67 | 0.33 | 113.7x | 89 | 57% |
| Parabolic SAR step=0.02, maxStep=0.32 |
16.8% | -66.1% | 0.58 | 0.25 | 42.3x | 473 | 49% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=23, mult=0.9 |
15.8% | -60.5% | 0.58 | 0.26 | 34.4x | 199 | 42% |
| ADX / DI 방향성 period=11, threshold=23 |
12.6% | -64.8% | 0.50 | 0.19 | 17.4x | 336 | 41% |
| 볼린저 밴드 돌파 n=51, k=1.6 |
11.9% | -66.2% | 0.49 | 0.18 | 15.0x | 135 | 37% |
| MACD fast=11, slow=22, signal=9 |
12.3% | -80.4% | 0.48 | 0.15 | 16.4x | 489 | 49% |
| Buy and hold | 21.2% | -86.3% | 0.62 | 0.25 | 102.4x | 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 143-day return is greater than -2%
- Sell — Sell when the 143-day return drops to -2% or below