Trend-Following Backtester · Guide · backtest 한국어
equity · SG
United Overseas Bank Limited backtest
10 trend-following strategies were compared on the full daily history of United Overseas Bank Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.0%, MDD -34.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.0%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -34.7%, Sharpe 0.33, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.4%, MDD -42.9%, exposure 80%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 4.0%, MDD -34.7%, exposure 61%).
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=65, slow=196 |
4.0% | -34.7% | 0.33 | 0.12 | 2.9x | 37 | 61% |
| ROC 모멘텀 n=121, threshold=-0.08 |
4.4% | -42.9% | 0.33 | 0.10 | 3.2x | 117 | 80% |
| Donchian 채널 돌파 entryN=55, exitN=68 |
3.7% | -42.9% | 0.31 | 0.09 | 2.6x | 55 | 62% |
| EMA 크로스오버 fast=40, slow=259 |
2.8% | -36.0% | 0.26 | 0.08 | 2.1x | 37 | 66% |
| ADX / DI 방향성 period=51, threshold=23 |
0.6% | -7.9% | 0.21 | 0.08 | 1.2x | 4 | 2% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
0.7% | -17.4% | 0.17 | 0.04 | 1.2x | 22 | 4% |
| Supertrend period=10, mult=4.5 |
0.4% | -53.5% | 0.10 | 0.01 | 1.1x | 111 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=2.2 |
0.5% | -38.1% | 0.10 | 0.01 | 1.1x | 135 | 36% |
| MACD fast=18, slow=49, signal=13 |
-1.2% | -60.8% | 0.00 | -0.02 | 0.7x | 341 | 50% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-2.6% | -67.7% | -0.08 | -0.04 | 0.5x | 524 | 53% |
| Buy and hold | 4.0% | -65.8% | 0.28 | 0.06 | 2.8x | 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 65-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 65-day average falls below the 196-day average