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; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.8%, MDD -34.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.8%, drawdown -65.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.2%, MDD -42.9%, Sharpe 0.32, 81% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 3.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=121, threshold=-0.08 |
4.2% | -42.9% | 0.32 | 0.10 | 3.0x | 117 | 81% |
| SMA 크로스오버 fast=65, slow=196 |
3.8% | -34.7% | 0.32 | 0.11 | 2.7x | 37 | 61% |
| Donchian 채널 돌파 entryN=55, exitN=68 |
3.5% | -42.9% | 0.30 | 0.08 | 2.5x | 55 | 62% |
| EMA 크로스오버 fast=40, slow=259 |
2.7% | -36.0% | 0.25 | 0.07 | 2.0x | 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 |
0.1% | -53.5% | 0.09 | 0.00 | 1.0x | 112 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=2.2 |
0.2% | -38.1% | 0.08 | 0.01 | 1.1x | 136 | 36% |
| MACD fast=18, slow=49, signal=13 |
-1.2% | -60.8% | 0.00 | -0.02 | 0.7x | 342 | 50% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-2.6% | -67.7% | -0.08 | -0.04 | 0.5x | 525 | 53% |
| Buy and hold | 3.8% | -65.8% | 0.27 | 0.06 | 2.7x | 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 121-day return is greater than -8%
- Sell — Sell when the 121-day return drops to -8% or below