Trend-Following Backtester · Guide · backtest 한국어
equity · US
UiPath, Inc. backtest
10 trend-following strategies were compared on the full daily history of UiPath, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -33.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.7%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -56.5%, Sharpe 0.32, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.7%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 0.0%, MDD -33.1%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=60 |
5.0% | -56.5% | 0.32 | 0.09 | 1.3x | 33 | 40% |
| ROC 모멘텀 n=109, threshold=-0.01 |
3.4% | -49.3% | 0.27 | 0.07 | 1.2x | 29 | 39% |
| EMA 크로스오버 fast=29, slow=54 |
3.1% | -47.7% | 0.26 | 0.06 | 1.2x | 15 | 37% |
| Donchian 채널 돌파 entryN=78, exitN=80 |
2.5% | -51.6% | 0.25 | 0.05 | 1.1x | 7 | 34% |
| Supertrend period=9, mult=4.5 |
-1.3% | -58.4% | 0.18 | -0.02 | 0.9x | 15 | 49% |
| ADX / DI 방향성 period=9, threshold=35 |
0.0% | -33.1% | 0.09 | 0.00 | 1.0x | 27 | 8% |
| MACD fast=13, slow=22, signal=16 |
-9.3% | -66.7% | 0.03 | -0.14 | 0.6x | 73 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=2.9 |
-1.1% | -35.0% | 0.00 | -0.03 | 0.9x | 9 | 5% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-17.3% | -79.7% | -0.19 | -0.22 | 0.4x | 95 | 49% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
-4.5% | -37.7% | -0.22 | -0.12 | 0.8x | 6 | 4% |
| Buy and hold | -21.7% | -89.0% | -0.06 | -0.24 | 0.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 49-day average falls below the 60-day average