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 7.5%, MDD -55.5%).

Data 2007-12-10 ~ 2026-07-31daily bars 4,681 (18.6 years)Costs 0.5%Venue SGXMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 5.6%, drawdown -89.7%).

Sharpe leader (same as main): Supertrend — CAGR 7.8%, MDD -70.5%, Sharpe 0.40, 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 7.5%, 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
7.8%-70.5%0.400.114.0x8161%
Donchian 채널 돌파
entryN=24, exitN=63
7.5%-55.5%0.390.133.8x5374%
볼린저 밴드 돌파
n=59, k=2.3
4.9%-59.3%0.350.082.4x5227%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=18, mult=3.9
4.1%-39.4%0.330.102.1x3014%
SMA 크로스오버
fast=13, slow=65
5.1%-63.3%0.320.082.5x9353%
MACD
fast=24, slow=48, signal=15
5.2%-73.1%0.320.072.6x19951%
Parabolic SAR
step=0.015, maxStep=0.18
4.8%-63.1%0.300.082.4x28251%
EMA 크로스오버
fast=25, slow=217
4.1%-73.3%0.290.062.1x3752%
ROC 모멘텀
n=118, threshold=0.08
3.4%-79.6%0.260.041.9x15537%
ADX / DI 방향성
period=16, threshold=12
0.5%-81.4%0.150.011.1x33951%
Buy and hold5.6%-89.7%0.330.062.8x1100%
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 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

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