Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Union Tool Co. backtest
10 trend-following strategies were compared on the full daily history of Union Tool Co.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.9%, MDD -43.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.8%, drawdown -86.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -57.0%, Sharpe 0.43, 34% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.0%, MDD -58.7%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 5.9%, MDD -43.1%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=74, k=1.6 |
7.4% | -57.0% | 0.43 | 0.13 | 6.3x | 82 | 34% |
| ADX / DI 방향성 period=39, threshold=21 |
5.9% | -43.1% | 0.43 | 0.14 | 4.3x | 34 | 12% |
| SMA 크로스오버 fast=19, slow=124 |
8.0% | -58.7% | 0.42 | 0.14 | 7.2x | 76 | 47% |
| Donchian 채널 돌파 entryN=97, exitN=69 |
6.8% | -54.0% | 0.38 | 0.13 | 5.4x | 38 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=3.6 |
5.9% | -46.6% | 0.38 | 0.13 | 4.4x | 66 | 25% |
| EMA 크로스오버 fast=20, slow=141 |
5.6% | -60.3% | 0.34 | 0.09 | 4.0x | 60 | 47% |
| ROC 모멘텀 n=142, threshold=0.14 |
5.1% | -53.3% | 0.33 | 0.10 | 3.6x | 145 | 32% |
| Supertrend period=29, mult=5 |
4.2% | -79.1% | 0.29 | 0.05 | 2.9x | 92 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.7% | -75.3% | 0.27 | 0.05 | 2.5x | 192 | 52% |
| MACD fast=13, slow=43, signal=17 |
-0.3% | -85.7% | 0.13 | -0.00 | 0.9x | 330 | 53% |
| Buy and hold | 2.8% | -86.3% | 0.27 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 74-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 74-day middle average