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 0.5%, MDD -29.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.4%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -2.2%, MDD -56.5%, Sharpe 0.12, 39% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.5%, MDD -29.6%, exposure 8%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.2%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 0.5%, MDD -29.6%, 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 |
-2.2% | -56.5% | 0.12 | -0.04 | 0.9x | 33 | 39% |
| ADX / DI 방향성 period=9, threshold=35 |
0.5% | -29.6% | 0.12 | 0.02 | 1.0x | 24 | 8% |
| Donchian 채널 돌파 entryN=78, exitN=80 |
-2.6% | -50.4% | 0.10 | -0.05 | 0.9x | 6 | 33% |
| ROC 모멘텀 n=109, threshold=-0.01 |
-3.8% | -49.3% | 0.08 | -0.08 | 0.8x | 29 | 38% |
| EMA 크로스오버 fast=29, slow=54 |
-4.0% | -47.7% | 0.06 | -0.08 | 0.8x | 15 | 36% |
| Supertrend period=9, mult=4.5 |
-8.1% | -58.4% | 0.01 | -0.14 | 0.6x | 15 | 49% |
| MACD fast=13, slow=22, signal=16 |
-15.8% | -66.7% | -0.13 | -0.24 | 0.4x | 73 | 49% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=2.9 |
-3.1% | -30.1% | -0.15 | -0.10 | 0.8x | 8 | 4% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
-4.6% | -37.7% | -0.22 | -0.12 | 0.8x | 6 | 5% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-23.3% | -79.7% | -0.36 | -0.29 | 0.2x | 95 | 48% |
| Buy and hold | -27.4% | -89.0% | -0.18 | -0.31 | 0.2x | 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