Trend-Following Backtester · Guide · backtest 한국어
equity · US
Unum Group backtest
10 trend-following strategies were compared on the full daily history of Unum Group. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.8%, MDD -71.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -90.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -17.7%, Sharpe 0.36, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.8%, MDD -71.4%, exposure 77%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p lower than buy and hold, while drawdown improves by 72.7%p (CAGR 5.8%, MDD -71.4%, exposure 77%).
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=29, threshold=31 |
1.6% | -17.7% | 0.36 | 0.09 | 1.9x | 16 | 4% |
| EMA 크로스오버 fast=57, slow=120 |
5.8% | -79.2% | 0.36 | 0.07 | 9.3x | 65 | 63% |
| Donchian 채널 돌파 entryN=15, exitN=46 |
5.8% | -71.4% | 0.34 | 0.08 | 9.4x | 145 | 77% |
| ROC 모멘텀 n=168, threshold=0.03 |
4.8% | -76.4% | 0.33 | 0.06 | 6.5x | 259 | 58% |
| SMA 크로스오버 fast=34, slow=179 |
5.1% | -73.1% | 0.33 | 0.07 | 7.1x | 63 | 62% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
1.9% | -20.3% | 0.28 | 0.09 | 2.1x | 26 | 11% |
| Supertrend period=13, mult=5 |
2.6% | -65.5% | 0.23 | 0.04 | 2.8x | 133 | 58% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.0% | -73.2% | 0.16 | 0.01 | 1.5x | 336 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=8, mult=4 |
1.0% | -62.0% | 0.15 | 0.02 | 1.5x | 94 | 25% |
| MACD fast=11, slow=53, signal=18 |
-0.2% | -74.1% | 0.11 | -0.00 | 0.9x | 546 | 51% |
| Buy and hold | 6.5% | -90.4% | 0.36 | 0.07 | 12.2x | 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, 29-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)