Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Universal Microwave Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Universal Microwave Technology, Inc.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 20.9%, MDD -45.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.9%, drawdown -73.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.5%, MDD -37.3%, Sharpe 0.83, 18% exposure.
CAGR reference leader: MACD — CAGR 20.9%, MDD -45.6%, exposure 49%.
Return/drawdown alternative: MACD — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 35.9%p (CAGR 20.9%, MDD -45.6%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=14, threshold=31 |
16.5% | -37.3% | 0.83 | 0.44 | 17.1x | 70 | 18% |
| MACD fast=11, slow=54, signal=16 |
20.9% | -45.6% | 0.81 | 0.46 | 33.9x | 216 | 49% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
17.7% | -51.2% | 0.72 | 0.35 | 20.6x | 82 | 37% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=2.1 |
14.8% | -37.6% | 0.69 | 0.39 | 13.0x | 106 | 28% |
| Supertrend period=20, mult=3 |
17.2% | -48.2% | 0.68 | 0.36 | 19.1x | 122 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
16.7% | -49.2% | 0.68 | 0.34 | 17.6x | 204 | 50% |
| SMA 크로스오버 fast=15, slow=26 |
16.5% | -53.7% | 0.65 | 0.31 | 17.1x | 182 | 52% |
| ROC 모멘텀 n=23, threshold=-0.06 |
14.1% | -60.6% | 0.56 | 0.23 | 11.6x | 308 | 74% |
| EMA 크로스오버 fast=30, slow=37 |
13.5% | -59.9% | 0.56 | 0.23 | 10.5x | 78 | 55% |
| Donchian 채널 돌파 entryN=100, exitN=68 |
11.5% | -45.0% | 0.52 | 0.26 | 7.6x | 24 | 44% |
| Buy and hold | 17.9% | -73.2% | 0.61 | 0.24 | 21.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 14-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)