Trend-Following Backtester · Guide · backtest 한국어
equity · US
Upbound Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Upbound Group, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -82.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.1%, MDD -54.5%, Sharpe 0.32, 18% exposure.
CAGR reference leader: Supertrend — CAGR 4.9%, MDD -81.5%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=16, mult=3.7 |
4.1% | -54.5% | 0.32 | 0.08 | 3.6x | 64 | 18% |
| Donchian 채널 돌파 entryN=8, exitN=33 |
4.7% | -82.8% | 0.32 | 0.06 | 4.2x | 177 | 76% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
2.4% | -31.8% | 0.31 | 0.07 | 2.1x | 22 | 4% |
| Supertrend period=8, mult=3.6 |
4.9% | -81.5% | 0.31 | 0.06 | 4.5x | 159 | 55% |
| ADX / DI 방향성 period=32, threshold=17 |
4.4% | -49.3% | 0.31 | 0.09 | 3.8x | 172 | 26% |
| EMA 크로스오버 fast=47, slow=90 |
3.3% | -63.1% | 0.26 | 0.05 | 2.8x | 79 | 52% |
| SMA 크로스오버 fast=18, slow=172 |
1.3% | -58.2% | 0.20 | 0.02 | 1.5x | 79 | 51% |
| ROC 모멘텀 n=83, threshold=0.12 |
1.7% | -71.2% | 0.19 | 0.02 | 1.7x | 254 | 31% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.8% | -95.0% | 0.13 | -0.01 | 0.8x | 260 | 52% |
| MACD fast=16, slow=44, signal=19 |
-2.6% | -96.2% | 0.09 | -0.03 | 0.4x | 384 | 52% |
| Buy and hold | 8.4% | -82.0% | 0.41 | 0.10 | 12.6x | 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 47-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average