Trend-Following Backtester · Guide · backtest 한국어
equity · US
UTime Limited backtest
10 trend-following strategies were compared on the full daily history of UTime Limited. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -94.4%, drawdown -100.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -31.1%, MDD -96.2%, Sharpe 0.32, 11% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=106, threshold=0.2 |
-31.1% | -96.2% | 0.32 | -0.32 | 0.1x | 12 | 11% |
| EMA 크로스오버 fast=18, slow=70 |
-35.2% | -97.1% | 0.28 | -0.36 | 0.1x | 6 | 16% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
-36.2% | -96.2% | 0.24 | -0.38 | 0.1x | 6 | 11% |
| Donchian 채널 돌파 entryN=119, exitN=22 |
-36.4% | -96.2% | 0.23 | -0.38 | 0.1x | 4 | 9% |
| ADX / DI 방향성 period=19, threshold=31 |
-44.2% | -98.2% | 0.19 | -0.45 | 0.0x | 15 | 11% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=31, mult=2 |
-35.0% | -96.2% | 0.18 | -0.36 | 0.1x | 10 | 10% |
| MACD fast=24, slow=56, signal=16 |
-77.2% | -100.0% | 0.13 | -0.77 | 0.0x | 17 | 77% |
| SMA 크로스오버 fast=19, slow=121 |
-43.9% | -99.0% | 0.11 | -0.44 | 0.0x | 6 | 17% |
| Supertrend period=28, mult=4.4 |
-54.5% | -99.2% | -0.04 | -0.55 | 0.0x | 10 | 19% |
| Parabolic SAR step=0.07, maxStep=0.4 |
-81.1% | -100.0% | -0.23 | -0.81 | 0.0x | 189 | 39% |
| Buy and hold | -94.4% | -100.0% | -0.30 | -0.94 | 0.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 106-day return is greater than 20%
- Sell — Sell when the 106-day return drops to 20% or below