Trend-Following Backtester · Guide · backtest 한국어
equity · SG
UMS Integration Limited backtest
10 trend-following strategies were compared on the full daily history of UMS Integration Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.9%, MDD -45.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.7%, drawdown -95.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.5%, MDD -53.9%, Sharpe 0.76, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 18.9%, MDD -45.8%, exposure 63%).
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=35, slow=74 |
20.5% | -53.9% | 0.76 | 0.38 | 108.9x | 81 | 53% |
| Donchian 채널 돌파 entryN=56, exitN=40 |
19.0% | -46.7% | 0.73 | 0.41 | 80.0x | 54 | 48% |
| EMA 크로스오버 fast=20, slow=75 |
19.8% | -59.2% | 0.72 | 0.34 | 95.0x | 69 | 55% |
| ROC 모멘텀 n=90, threshold=-0.04 |
18.9% | -45.8% | 0.68 | 0.41 | 77.7x | 199 | 63% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=13, mult=2.3 |
16.7% | -46.2% | 0.67 | 0.36 | 49.0x | 78 | 46% |
| 볼린저 밴드 돌파 n=76, k=1.3 |
14.5% | -50.8% | 0.62 | 0.28 | 30.0x | 96 | 41% |
| ADX / DI 방향성 period=39, threshold=12 |
15.9% | -54.5% | 0.61 | 0.29 | 40.7x | 144 | 53% |
| Supertrend period=28, mult=5 |
13.1% | -74.1% | 0.56 | 0.18 | 22.0x | 82 | 48% |
| Parabolic SAR step=0.02, maxStep=0.2 |
9.4% | -75.5% | 0.44 | 0.12 | 9.7x | 406 | 52% |
| MACD fast=19, slow=59, signal=17 |
5.4% | -95.5% | 0.32 | 0.06 | 3.8x | 272 | 53% |
| Buy and hold | 11.7% | -95.8% | 0.47 | 0.12 | 16.1x | 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 35-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 35-day average falls below the 74-day average