Trend-Following Backtester · Guide · backtest 한국어
equity · US
UGI Corporation backtest
10 trend-following strategies were compared on the full daily history of UGI Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -50.0%, Sharpe 0.30, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=56, slow=170 |
3.7% | -50.0% | 0.30 | 0.07 | 7.1x | 74 | 59% |
| EMA 크로스오버 fast=53, slow=215 |
3.4% | -44.8% | 0.28 | 0.08 | 6.0x | 67 | 63% |
| Donchian 채널 돌파 entryN=15, exitN=73 |
3.3% | -60.6% | 0.26 | 0.05 | 5.8x | 145 | 84% |
| ROC 모멘텀 n=64, threshold=-0.13 |
0.9% | -72.1% | 0.15 | 0.01 | 1.6x | 225 | 93% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
0.5% | -34.7% | 0.10 | 0.01 | 1.3x | 98 | 17% |
| ADX / DI 방향성 period=37, threshold=22 |
0.3% | -31.4% | 0.08 | 0.01 | 1.2x | 76 | 10% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=19, mult=3.8 |
0.1% | -39.3% | 0.05 | 0.00 | 1.0x | 100 | 15% |
| Supertrend period=16, mult=4.8 |
-0.7% | -84.6% | 0.04 | -0.01 | 0.7x | 189 | 55% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.3% | -75.4% | -0.05 | -0.03 | 0.3x | 419 | 56% |
| MACD fast=27, slow=49, signal=28 |
-2.9% | -87.4% | -0.10 | -0.03 | 0.2x | 443 | 50% |
| Buy and hold | 5.5% | -65.6% | 0.34 | 0.08 | 17.8x | 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 56-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 56-day average falls below the 170-day average