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.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.3%, MDD -18.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.5%, drawdown -68.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.8%, MDD -39.7%, Sharpe 0.67, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 7.3%, 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 |
16.8% | -39.7% | 0.67 | 0.42 | 3.1x | 6 | 52% |
| ROC 모멘텀 n=138, threshold=0.17 |
13.9% | -33.3% | 0.66 | 0.42 | 2.6x | 36 | 35% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=2.3 |
7.3% | -18.1% | 0.62 | 0.41 | 1.7x | 20 | 11% |
| EMA 크로스오버 fast=49, slow=209 |
11.8% | -41.2% | 0.53 | 0.29 | 2.3x | 6 | 50% |
| 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 |
7.0% | -44.3% | 0.37 | 0.16 | 1.6x | 125 | 49% |
| Supertrend period=14, mult=4.8 |
6.7% | -43.8% | 0.36 | 0.15 | 1.6x | 23 | 54% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
2.5% | -15.2% | 0.35 | 0.16 | 1.2x | 4 | 5% |
| Donchian 채널 돌파 entryN=61, exitN=72 |
5.0% | -49.0% | 0.31 | 0.10 | 1.4x | 13 | 54% |
| Parabolic SAR step=0.015, maxStep=0.3 |
0.1% | -56.0% | 0.16 | 0.00 | 1.0x | 135 | 50% |
| Buy and hold | 8.5% | -68.0% | 0.41 | 0.12 | 1.8x | 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