Trend-Following Backtester · Guide · backtest 한국어
equity · SG
CapitaLand Ascendas REIT backtest
10 trend-following strategies were compared on the full daily history of CapitaLand Ascendas REIT. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.8%, drawdown -67.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -13.4%, Sharpe 0.08, 3% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=3.4 |
0.3% | -13.4% | 0.08 | 0.02 | 1.1x | 10 | 3% |
| ROC 모멘텀 n=94, threshold=-0.1 |
-2.0% | -53.8% | 0.01 | -0.04 | 0.7x | 107 | 89% |
| SMA 크로스오버 fast=52, slow=142 |
-2.1% | -63.1% | -0.04 | -0.03 | 0.6x | 44 | 53% |
| Donchian 채널 돌파 entryN=22, exitN=30 |
-2.3% | -61.5% | -0.04 | -0.04 | 0.6x | 93 | 60% |
| ADX / DI 방향성 period=36, threshold=25 |
-0.1% | -6.9% | -0.05 | -0.01 | 1.0x | 4 | 1% |
| Supertrend period=28, mult=4.3 |
-2.6% | -61.9% | -0.08 | -0.04 | 0.6x | 74 | 52% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=19, mult=4 |
-0.6% | -19.9% | -0.17 | -0.03 | 0.9x | 6 | 1% |
| EMA 크로스오버 fast=9, slow=75 |
-4.3% | -71.3% | -0.19 | -0.06 | 0.4x | 127 | 54% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.5% | -75.3% | -0.23 | -0.07 | 0.3x | 309 | 52% |
| MACD fast=13, slow=47, signal=16 |
-9.2% | -90.3% | -0.45 | -0.10 | 0.1x | 289 | 52% |
| Buy and hold | 0.8% | -67.8% | 0.16 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 31-day middle average