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 19.5%, MDD -45.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.3%, drawdown -95.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.6%, MDD -53.9%, Sharpe 0.76, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 19.5%, 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 |
20.6% | -53.9% | 0.76 | 0.38 | 114.1x | 82 | 53% |
| EMA 크로스오버 fast=20, slow=75 |
20.5% | -59.2% | 0.74 | 0.35 | 110.8x | 69 | 55% |
| Donchian 채널 돌파 entryN=56, exitN=40 |
18.9% | -46.7% | 0.73 | 0.41 | 80.0x | 54 | 48% |
| ROC 모멘텀 n=90, threshold=-0.04 |
19.5% | -45.8% | 0.69 | 0.43 | 90.7x | 199 | 63% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=13, mult=2.3 |
16.6% | -46.2% | 0.66 | 0.36 | 48.0x | 79 | 46% |
| ADX / DI 방향성 period=39, threshold=12 |
16.5% | -54.5% | 0.63 | 0.30 | 47.3x | 145 | 53% |
| 볼린저 밴드 돌파 n=76, k=1.3 |
14.0% | -50.8% | 0.61 | 0.28 | 27.7x | 97 | 41% |
| Supertrend period=28, mult=5 |
12.7% | -74.1% | 0.55 | 0.17 | 20.3x | 83 | 48% |
| Parabolic SAR step=0.02, maxStep=0.2 |
9.9% | -75.5% | 0.45 | 0.13 | 10.8x | 408 | 52% |
| MACD fast=19, slow=59, signal=17 |
5.3% | -95.5% | 0.32 | 0.06 | 3.7x | 273 | 53% |
| Buy and hold | 12.3% | -95.8% | 0.48 | 0.13 | 18.7x | 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 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