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; SMA 크로스오버 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 -2.3%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.1%, MDD -40.1%, Sharpe 0.15, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 37.1%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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=76, slow=194 |
1.1% | -40.1% | 0.15 | 0.03 | 1.3x | 37 | 49% |
| 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% |
| EMA 크로스오버 fast=33, slow=193 |
-0.3% | -47.6% | 0.06 | -0.01 | 0.9x | 47 | 47% |
| ADX / DI 방향성 period=37, threshold=25 |
0.0% | -26.4% | 0.03 | 0.00 | 1.0x | 13 | 4% |
| MACD fast=31, slow=36, signal=53 |
-1.4% | -57.9% | 0.01 | -0.02 | 0.7x | 161 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=66 |
-1.9% | -66.0% | 0.00 | -0.03 | 0.6x | 91 | 71% |
| Supertrend period=36, mult=5 |
-1.4% | -63.7% | -0.01 | -0.02 | 0.7x | 93 | 46% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.1% | -83.1% | -0.15 | -0.05 | 0.3x | 196 | 49% |
| Buy and hold | -2.3% | -77.2% | 0.03 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 76-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 76-day average falls below the 194-day average