Trend-Following Backtester · Guide · backtest 한국어
equity · SG
CapitaLand India Trust backtest
10 trend-following strategies were compared on the full daily history of CapitaLand India Trust. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -16.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.6%, drawdown -73.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -16.8%, Sharpe 0.32, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.6%, MDD -36.2%, exposure 28%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 1.9%, MDD -16.8%, exposure 7%).
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=41, threshold=23 |
1.9% | -16.8% | 0.32 | 0.11 | 1.4x | 14 | 7% |
| Donchian 채널 돌파 entryN=105, exitN=33 |
2.6% | -36.2% | 0.26 | 0.07 | 1.6x | 32 | 28% |
| SMA 크로스오버 fast=69, slow=132 |
0.2% | -55.7% | 0.10 | 0.00 | 1.0x | 40 | 49% |
| ROC 모멘텀 n=131, threshold=0.14 |
0.3% | -45.7% | 0.08 | 0.01 | 1.1x | 104 | 18% |
| EMA 크로스오버 fast=69, slow=212 |
-0.8% | -58.4% | 0.04 | -0.01 | 0.9x | 20 | 48% |
| Supertrend period=8, mult=4.4 |
-1.9% | -58.0% | -0.01 | -0.03 | 0.7x | 60 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=2 |
-1.7% | -59.9% | -0.04 | -0.03 | 0.7x | 86 | 34% |
| 볼린저 밴드 돌파 n=51, k=2.6 |
-1.5% | -46.7% | -0.06 | -0.03 | 0.7x | 54 | 23% |
| MACD fast=22, slow=55, signal=19 |
-3.9% | -72.7% | -0.12 | -0.05 | 0.5x | 187 | 51% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-5.7% | -74.2% | -0.22 | -0.08 | 0.3x | 319 | 52% |
| Buy and hold | -1.6% | -73.1% | 0.08 | -0.02 | 0.7x | 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, 41-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)