Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Keppel DC REIT backtest
10 trend-following strategies were compared on the full daily history of Keppel DC REIT. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -30.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -47.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -9.3%, Sharpe 0.68, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.1%, MDD -30.4%, exposure 53%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 38.4%p (CAGR 7.7%, MDD -30.4%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=31, threshold=24 |
5.1% | -9.3% | 0.68 | 0.55 | 1.8x | 10 | 14% |
| SMA 크로스오버 fast=51, slow=126 |
8.1% | -30.4% | 0.57 | 0.27 | 2.5x | 18 | 53% |
| EMA 크로스오버 fast=35, slow=79 |
7.7% | -30.4% | 0.54 | 0.25 | 2.4x | 24 | 57% |
| Donchian 채널 돌파 entryN=73, exitN=67 |
5.8% | -30.9% | 0.46 | 0.19 | 1.9x | 18 | 50% |
| Supertrend period=18, mult=3.8 |
5.4% | -44.0% | 0.44 | 0.12 | 1.9x | 36 | 55% |
| 볼린저 밴드 돌파 n=36, k=2.8 |
2.5% | -12.3% | 0.34 | 0.20 | 1.3x | 24 | 16% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=20, mult=3.3 |
3.1% | -24.7% | 0.33 | 0.12 | 1.4x | 26 | 29% |
| ROC 모멘텀 n=133, threshold=0.06 |
3.2% | -28.0% | 0.29 | 0.11 | 1.4x | 90 | 41% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-2.2% | -47.4% | -0.07 | -0.05 | 0.8x | 133 | 56% |
| MACD fast=24, slow=44, signal=22 |
-2.9% | -50.2% | -0.13 | -0.06 | 0.7x | 114 | 49% |
| Buy and hold | 7.6% | -47.7% | 0.46 | 0.16 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 31-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)