Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Singapore Airlines Ltd. backtest
10 trend-following strategies were compared on the full daily history of Singapore Airlines Ltd.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -9.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.7%, drawdown -77.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -14.6%, Sharpe 0.14, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.6%, MDD -40.1%, exposure 49%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 62.6%p (CAGR 0.3%, MDD -9.3%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=3.3 |
0.5% | -14.6% | 0.14 | 0.03 | 1.1x | 16 | 2% |
| ROC 모멘텀 n=19, threshold=0.21 |
0.3% | -9.3% | 0.13 | 0.04 | 1.1x | 16 | 1% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=28, mult=3.8 |
0.5% | -16.9% | 0.12 | 0.03 | 1.1x | 16 | 2% |
| SMA 크로스오버 fast=76, slow=194 |
0.6% | -40.1% | 0.11 | 0.01 | 1.2x | 37 | 49% |
| EMA 크로스오버 fast=33, slow=193 |
-0.8% | -48.1% | 0.03 | -0.02 | 0.8x | 47 | 47% |
| ADX / DI 방향성 period=37, threshold=25 |
-0.1% | -26.4% | 0.02 | -0.00 | 1.0x | 14 | 4% |
| MACD fast=31, slow=36, signal=53 |
-1.4% | -57.9% | 0.01 | -0.02 | 0.7x | 162 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=66 |
-2.4% | -66.0% | -0.02 | -0.04 | 0.5x | 91 | 71% |
| Supertrend period=36, mult=5 |
-1.7% | -63.7% | -0.02 | -0.03 | 0.6x | 94 | 46% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.1% | -83.1% | -0.15 | -0.05 | 0.3x | 196 | 49% |
| Buy and hold | -2.7% | -77.2% | 0.01 | -0.04 | 0.5x | 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 20-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 20-day middle average