Trend-Following Backtester · Guide · backtest 한국어
equity · JP
United Urban Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of United Urban Investment Corporation. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -16.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.5%, drawdown -74.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.7%, MDD -16.0%, Sharpe 0.52, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.4%, MDD -31.7%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 2.7%, MDD -16.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=4 |
2.7% | -16.0% | 0.52 | 0.17 | 1.8x | 8 | 3% |
| SMA 크로스오버 fast=29, slow=125 |
7.4% | -31.7% | 0.50 | 0.23 | 4.4x | 44 | 55% |
| ADX / DI 방향성 period=15, threshold=31 |
3.3% | -17.8% | 0.43 | 0.18 | 2.0x | 58 | 11% |
| Donchian 채널 돌파 entryN=67, exitN=96 |
5.9% | -39.0% | 0.41 | 0.15 | 3.3x | 22 | 64% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
3.3% | -20.1% | 0.40 | 0.17 | 2.0x | 24 | 13% |
| EMA 크로스오버 fast=44, slow=56 |
4.8% | -31.7% | 0.36 | 0.15 | 2.7x | 54 | 55% |
| ROC 모멘텀 n=104, threshold=-0.06 |
2.4% | -44.8% | 0.22 | 0.05 | 1.6x | 154 | 72% |
| Supertrend period=9, mult=3.3 |
0.4% | -54.1% | 0.11 | 0.01 | 1.1x | 119 | 56% |
| MACD fast=18, slow=52, signal=19 |
-1.5% | -63.0% | 0.01 | -0.02 | 0.7x | 211 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.2% | -64.7% | -0.03 | -0.03 | 0.6x | 157 | 58% |
| Buy and hold | 1.5% | -74.8% | 0.20 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average