SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

equity · SG

First Resources Ltd. (Singapore) backtest

10 trend-following strategies were compared on the full daily history of First Resources Ltd. (Singapore). 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.2%, MDD -55.5%).

Data 2007-12-10 ~ 2026-08-31daily bars 4,701 (18.7 years)Costs 0.5%Venue SGXMonthly snapshot 2026-08-31

Results by strategy

2 of 10 beat buy and hold (CAGR 7.3%, drawdown -89.7%).

Sharpe leader (same as main): Supertrend — CAGR 9.5%, MDD -70.5%, Sharpe 0.45, 61% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 9.2%, MDD -55.5%, exposure 74%).

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
Supertrend
period=6, mult=3.9
9.5%-70.5%0.450.135.5x8161%
Donchian 채널 돌파
entryN=24, exitN=63
9.2%-55.5%0.440.175.2x5374%
SMA 크로스오버
fast=13, slow=65
6.8%-63.3%0.390.113.4x9354%
볼린저 밴드 돌파
n=59, k=2.3
5.5%-59.3%0.370.092.7x5327%
MACD
fast=24, slow=48, signal=15
6.8%-73.1%0.370.093.4x19951%
EMA 크로스오버
fast=25, slow=217
5.7%-73.3%0.350.082.8x3753%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=18, mult=3.9
4.3%-39.4%0.350.112.2x3114%
Parabolic SAR
step=0.015, maxStep=0.18
5.9%-63.1%0.340.092.9x28351%
ROC 모멘텀
n=118, threshold=0.08
5.1%-79.6%0.330.062.5x15537%
ADX / DI 방향성
period=16, threshold=12
2.1%-81.4%0.210.031.5x33952%
Buy and hold7.3%-89.7%0.370.083.7x1100%
1x 2008 2011 2014 2017 2020 2023 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -45% -67% -90% 2008 2011 2014 2017 2020 2023 2026 Buy and holdSupertrend
Supertrend maximum drawdown -70.5% (2012-08-27 → 2025-04-08), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore SG assetsAll asset reports

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