Trend-Following Backtester · Guide · backtest 한국어
equity · US
Unity Software Inc. backtest
10 trend-following strategies were compared on the full daily history of Unity Software Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -25.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.9%, drawdown -93.1%).
Sharpe leader (same as main): Supertrend — CAGR 40.3%, MDD -42.7%, Sharpe 0.94, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 48.2%p higher than buy and hold, while drawdown improves by 50.4%p (CAGR 1.7%, MDD -25.6%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=2 |
40.3% | -42.7% | 0.94 | 0.95 | 7.5x | 61 | 45% |
| SMA 크로스오버 fast=17, slow=42 |
15.3% | -77.0% | 0.54 | 0.20 | 2.3x | 37 | 47% |
| MACD fast=17, slow=24, signal=12 |
14.0% | -62.6% | 0.51 | 0.22 | 2.2x | 84 | 53% |
| EMA 크로스오버 fast=9, slow=31 |
12.8% | -68.9% | 0.49 | 0.19 | 2.0x | 43 | 47% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=28, mult=1.2 |
12.0% | -44.2% | 0.48 | 0.27 | 2.0x | 53 | 34% |
| Parabolic SAR step=0.01, maxStep=0.06 |
11.6% | -66.1% | 0.47 | 0.18 | 1.9x | 71 | 50% |
| 볼린저 밴드 돌파 n=41, k=1.2 |
11.0% | -65.1% | 0.46 | 0.17 | 1.9x | 39 | 36% |
| Donchian 채널 돌파 entryN=24, exitN=17 |
6.2% | -76.2% | 0.36 | 0.08 | 1.4x | 33 | 43% |
| ROC 모멘텀 n=106, threshold=0.03 |
0.4% | -72.9% | 0.21 | 0.01 | 1.0x | 47 | 37% |
| ADX / DI 방향성 period=22, threshold=33 |
1.7% | -25.6% | 0.20 | 0.07 | 1.1x | 5 | 4% |
| Buy and hold | -7.9% | -93.1% | 0.27 | -0.08 | 0.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)