Trend-Following Backtester · Guide · backtest 한국어
equity · SG
UOB-Kay Hian Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of UOB-Kay Hian Holdings Limited. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.6%, MDD -31.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.1%, drawdown -68.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -48.0%, Sharpe 0.48, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 5.6%, MDD -31.7%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=68 |
6.8% | -48.0% | 0.48 | 0.14 | 5.8x | 69 | 51% |
| 볼린저 밴드 돌파 n=74, k=2.8 |
5.6% | -31.7% | 0.48 | 0.18 | 4.2x | 48 | 27% |
| ROC 모멘텀 n=139, threshold=0.14 |
5.6% | -36.0% | 0.47 | 0.16 | 4.2x | 75 | 22% |
| SMA 크로스오버 fast=11, slow=105 |
6.1% | -49.5% | 0.44 | 0.12 | 4.9x | 99 | 51% |
| Donchian 채널 돌파 entryN=61, exitN=79 |
6.3% | -45.7% | 0.44 | 0.14 | 5.0x | 49 | 60% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=4 |
4.2% | -38.0% | 0.40 | 0.11 | 3.0x | 52 | 21% |
| Parabolic SAR step=0.005, maxStep=0.2 |
4.7% | -57.1% | 0.37 | 0.08 | 3.4x | 173 | 50% |
| Supertrend period=9, mult=4.8 |
4.1% | -58.4% | 0.32 | 0.07 | 2.9x | 87 | 52% |
| MACD fast=19, slow=32, signal=19 |
-0.1% | -73.5% | 0.07 | -0.00 | 1.0x | 288 | 50% |
| ADX / DI 방향성 period=21, threshold=37 |
0.2% | -39.2% | 0.07 | 0.01 | 1.1x | 42 | 9% |
| Buy and hold | 5.1% | -68.7% | 0.33 | 0.07 | 3.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 68-day EMA
- Sell — Sell when the 37-day EMA falls below the 68-day EMA