Trend-Following Backtester · Guide · backtest 한국어
equity · JP
UBE Corporation backtest
10 trend-following strategies were compared on the full daily history of UBE Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 1.7%, drawdown -72.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -61.6%, Sharpe 0.23, 52% 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=47, slow=85 |
2.8% | -61.6% | 0.23 | 0.04 | 2.1x | 89 | 52% |
| ROC 모멘텀 n=44, threshold=-0.15 |
0.9% | -71.5% | 0.18 | 0.01 | 1.3x | 155 | 90% |
| Donchian 채널 돌파 entryN=80, exitN=84 |
0.6% | -66.3% | 0.14 | 0.01 | 1.2x | 41 | 47% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.1% | -74.2% | 0.12 | -0.00 | 1.0x | 482 | 53% |
| EMA 크로스오버 fast=40, slow=74 |
-1.1% | -76.8% | 0.07 | -0.01 | 0.7x | 79 | 51% |
| Supertrend period=28, mult=4.8 |
-1.6% | -72.7% | 0.06 | -0.02 | 0.7x | 103 | 50% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
-1.2% | -69.7% | 0.04 | -0.02 | 0.7x | 169 | 42% |
| ADX / DI 방향성 period=19, threshold=15 |
-2.1% | -69.4% | -0.01 | -0.03 | 0.6x | 317 | 37% |
| MACD fast=17, slow=21, signal=13 |
-3.9% | -80.2% | -0.04 | -0.05 | 0.3x | 412 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=29, mult=3.8 |
-2.4% | -63.7% | -0.12 | -0.04 | 0.5x | 63 | 17% |
| Buy and hold | 1.7% | -72.6% | 0.23 | 0.02 | 1.6x | 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 47-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 47-day average falls below the 85-day average