Trend-Following Backtester · Guide · backtest 한국어
equity · US
Under Armour, Inc. backtest
10 trend-following strategies were compared on the full daily history of Under Armour, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -13.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.4%, drawdown -91.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -13.2%, Sharpe 0.27, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.4%, MDD -41.7%, exposure 16%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.6%p higher than buy and hold, while drawdown improves by 78.1%p (CAGR 2.2%, MDD -13.2%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=11, threshold=48 |
2.2% | -13.2% | 0.27 | 0.16 | 1.3x | 8 | 2% |
| Donchian 채널 돌파 entryN=116, exitN=18 |
2.4% | -41.7% | 0.22 | 0.06 | 1.3x | 16 | 16% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
0.5% | -27.2% | 0.10 | 0.02 | 1.0x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=4 |
0.3% | -24.5% | 0.08 | 0.01 | 1.0x | 8 | 3% |
| SMA 크로스오버 fast=26, slow=178 |
-2.6% | -59.6% | 0.05 | -0.04 | 0.8x | 18 | 38% |
| Supertrend period=18, mult=3.6 |
-4.8% | -58.5% | -0.01 | -0.08 | 0.6x | 54 | 42% |
| ROC 모멘텀 n=78, threshold=0.06 |
-3.9% | -60.5% | -0.02 | -0.06 | 0.7x | 94 | 33% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-8.5% | -79.4% | -0.10 | -0.11 | 0.4x | 224 | 48% |
| EMA 크로스오버 fast=44, slow=163 |
-7.0% | -70.0% | -0.12 | -0.10 | 0.5x | 16 | 35% |
| MACD fast=11, slow=59, signal=6 |
-10.6% | -83.7% | -0.16 | -0.13 | 0.3x | 204 | 52% |
| Buy and hold | -18.4% | -91.3% | -0.15 | -0.20 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 11-day) is ≥ 48
- Sell — Sell when direction flips or the trend weakens (ADX < 48)