Trend-Following Backtester · Guide · backtest 한국어
equity · US
Uber Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Uber Technologies, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.4%, MDD -18.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.5%, drawdown -68.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.0%, MDD -39.7%, Sharpe 0.68, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 7.4%, MDD -18.1%, exposure 11%).
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=45, slow=215 |
17.0% | -39.7% | 0.68 | 0.43 | 3.1x | 6 | 53% |
| ROC 모멘텀 n=138, threshold=0.17 |
14.0% | -33.3% | 0.66 | 0.42 | 2.6x | 36 | 35% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=2.3 |
7.4% | -18.1% | 0.62 | 0.41 | 1.7x | 20 | 11% |
| EMA 크로스오버 fast=49, slow=209 |
11.9% | -41.2% | 0.54 | 0.29 | 2.3x | 6 | 51% |
| ADX / DI 방향성 period=23, threshold=29 |
3.7% | -11.1% | 0.44 | 0.33 | 1.3x | 6 | 6% |
| MACD fast=9, slow=20, signal=15 |
8.0% | -44.3% | 0.40 | 0.18 | 1.7x | 122 | 49% |
| Supertrend period=14, mult=4.8 |
7.5% | -43.8% | 0.39 | 0.17 | 1.7x | 22 | 54% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
2.5% | -15.2% | 0.35 | 0.17 | 1.2x | 4 | 5% |
| Donchian 채널 돌파 entryN=61, exitN=72 |
5.6% | -49.0% | 0.33 | 0.11 | 1.5x | 12 | 54% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-0.5% | -56.0% | 0.14 | -0.01 | 1.0x | 134 | 50% |
| Buy and hold | 7.5% | -68.0% | 0.39 | 0.11 | 1.7x | 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 45-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 45-day average falls below the 215-day average