Trend-Following Backtester · Guide · backtest 한국어
equity · SG
UOL Group Limited backtest
10 trend-following strategies were compared on the full daily history of UOL Group Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.7%, MDD -46.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -73.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -46.7%, Sharpe 0.53, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 8.7%, MDD -46.7%, exposure 58%).
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=52, slow=191 |
8.7% | -46.7% | 0.53 | 0.19 | 9.2x | 37 | 58% |
| Supertrend period=9, mult=4.2 |
6.3% | -45.1% | 0.43 | 0.14 | 5.1x | 98 | 54% |
| EMA 크로스오버 fast=23, slow=177 |
6.5% | -47.1% | 0.43 | 0.14 | 5.3x | 41 | 59% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=3.1 |
4.7% | -34.5% | 0.40 | 0.14 | 3.4x | 78 | 31% |
| Donchian 채널 돌파 entryN=91, exitN=56 |
4.9% | -46.8% | 0.37 | 0.10 | 3.5x | 50 | 48% |
| ADX / DI 방향성 period=28, threshold=24 |
2.9% | -22.6% | 0.35 | 0.13 | 2.2x | 60 | 16% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.0% | -50.5% | 0.30 | 0.08 | 2.8x | 189 | 55% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
3.5% | -50.4% | 0.29 | 0.07 | 2.5x | 166 | 43% |
| ROC 모멘텀 n=120, threshold=0.06 |
2.0% | -52.8% | 0.20 | 0.04 | 1.7x | 222 | 43% |
| MACD fast=18, slow=57, signal=22 |
1.5% | -59.5% | 0.17 | 0.03 | 1.5x | 259 | 51% |
| Buy and hold | 7.2% | -73.7% | 0.39 | 0.10 | 6.4x | 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 52-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 52-day average falls below the 191-day average