Trend-Following Backtester · Guide · backtest 한국어
equity · US
uniQure N.V. backtest
10 trend-following strategies were compared on the full daily history of uniQure N.V.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.9%, MDD -74.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.1%, drawdown -95.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.2%, MDD -79.3%, Sharpe 0.55, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 9.9%, MDD -74.5%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=119, threshold=0.07 |
26.2% | -79.3% | 0.55 | 0.33 | 18.3x | 89 | 40% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=12, mult=1.8 |
15.8% | -81.0% | 0.50 | 0.19 | 6.2x | 47 | 33% |
| Donchian 채널 돌파 entryN=69, exitN=34 |
21.8% | -84.7% | 0.50 | 0.26 | 11.7x | 25 | 36% |
| SMA 크로스오버 fast=21, slow=218 |
18.8% | -84.7% | 0.49 | 0.22 | 8.6x | 23 | 43% |
| Supertrend period=24, mult=4.7 |
17.1% | -83.2% | 0.46 | 0.21 | 7.2x | 43 | 39% |
| EMA 크로스오버 fast=10, slow=142 |
16.0% | -90.8% | 0.45 | 0.18 | 6.4x | 37 | 41% |
| ADX / DI 방향성 period=44, threshold=12 |
9.9% | -74.5% | 0.42 | 0.13 | 3.2x | 65 | 34% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
9.2% | -85.6% | 0.41 | 0.11 | 3.0x | 73 | 36% |
| MACD fast=19, slow=28, signal=18 |
3.5% | -85.0% | 0.34 | 0.04 | 1.5x | 144 | 53% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-7.7% | -92.0% | 0.17 | -0.08 | 0.4x | 214 | 47% |
| Buy and hold | 9.1% | -95.4% | 0.49 | 0.10 | 3.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 119-day return is greater than 7%
- Sell — Sell when the 119-day return drops to 7% or below