Trend-Following Backtester · Guide · backtest 한국어
equity · IN
UPL Limited backtest
10 trend-following strategies were compared on the full daily history of UPL Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -56.5%, Sharpe 0.44, 58% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=12, slow=198 |
9.5% | -56.5% | 0.44 | 0.17 | 8.9x | 60 | 58% |
| EMA 크로스오버 fast=12, slow=73 |
9.0% | -62.6% | 0.42 | 0.14 | 8.0x | 110 | 57% |
| Donchian 채널 돌파 entryN=60, exitN=28 |
7.0% | -61.7% | 0.39 | 0.11 | 5.1x | 58 | 45% |
| 볼린저 밴드 돌파 n=50, k=3.1 |
5.1% | -31.8% | 0.37 | 0.16 | 3.3x | 36 | 15% |
| ROC 모멘텀 n=84, threshold=0 |
6.7% | -70.9% | 0.37 | 0.09 | 4.8x | 253 | 56% |
| ADX / DI 방향성 period=39, threshold=31 |
2.8% | -19.0% | 0.37 | 0.15 | 2.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.5 |
3.7% | -48.5% | 0.28 | 0.08 | 2.4x | 56 | 25% |
| Supertrend period=22, mult=3.8 |
3.4% | -73.2% | 0.27 | 0.05 | 2.3x | 96 | 58% |
| MACD fast=15, slow=59, signal=12 |
0.0% | -73.0% | 0.15 | 0.00 | 1.0x | 305 | 50% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-4.9% | -81.3% | -0.02 | -0.06 | 0.3x | 327 | 52% |
| Buy and hold | 15.1% | -64.9% | 0.54 | 0.23 | 29.7x | 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 12-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 12-day average falls below the 198-day average