Trend-Following Backtester · Guide · backtest 한국어

equity · SG

CapitaLand Integrated Commercial Trust backtest

10 trend-following strategies were compared on the full daily history of CapitaLand Integrated Commercial Trust. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.1%, MDD -3.5%).

Data 2007-11-05 ~ 2026-07-31daily bars 4,705 (18.7 years)Costs 0.5%Venue SGXMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR -0.7%, drawdown -68.0%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.4%, MDD -45.4%, Sharpe 0.22, 93% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR -0.1%, MDD -3.5%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=72, threshold=-0.14
2.4%-45.4%0.220.051.5x4193%
SMA 크로스오버
fast=53, slow=184
1.4%-31.1%0.170.051.3x2854%
볼린저 밴드 돌파
n=19, k=3.5
0.1%-4.1%0.060.021.0x21%
EMA 크로스오버
fast=73, slow=136
-0.8%-40.4%0.01-0.020.9x3155%
Donchian 채널 돌파
entryN=62, exitN=69
-1.0%-44.6%0.00-0.020.8x3153%
Supertrend
period=23, mult=5
-2.2%-56.1%-0.05-0.040.7x4356%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=9, mult=4
-0.1%-3.5%-0.07-0.021.0x21%
ADX / DI 방향성
period=38, threshold=26
-0.2%-7.4%-0.07-0.031.0x42%
MACD
fast=13, slow=29, signal=17
-9.4%-87.1%-0.50-0.110.2x27351%
Parabolic SAR
step=0.02, maxStep=0.28
-9.3%-86.4%-0.51-0.110.2x36953%
Buy and hold-0.7%-68.0%0.10-0.010.9x1100%
1x 2008 2011 2014 2017 2020 2023 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 2008 2011 2014 2017 2020 2023 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -45.4% (2019-07-05 → 2023-10-23), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next