Trend-Following Backtester · Guide · backtest 한국어

equity · SG

Wilmar International Limited backtest

10 trend-following strategies were compared on the full daily history of Wilmar International Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.5%, MDD -46.0%).

Data 2006-07-17 ~ 2026-07-31daily bars 5,036 (20.0 years)Costs 0.5%Venue SGXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.6%, drawdown -68.1%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.9%, MDD -45.3%, Sharpe 0.44, 18% exposure.

CAGR reference leader: Supertrend — CAGR 6.5%, MDD -46.0%, exposure 48%.

Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 6.5%, MDD -46.0%, exposure 48%).

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
ROC 모멘텀
n=72, threshold=0.13
5.9%-45.3%0.440.133.2x12018%
Supertrend
period=29, mult=2.5
6.5%-46.0%0.410.143.6x15548%
볼린저 밴드 돌파
n=28, k=2.1
5.1%-37.5%0.390.142.7x11226%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=24, mult=2.7
5.1%-44.6%0.380.112.7x6627%
MACD
fast=21, slow=41, signal=22
5.9%-59.8%0.380.103.2x18352%
ADX / DI 방향성
period=32, threshold=15
4.5%-56.7%0.360.082.4x8620%
Donchian 채널 돌파
entryN=14, exitN=25
5.6%-68.3%0.350.083.0x12159%
EMA 크로스오버
fast=50, slow=61
4.5%-73.9%0.310.062.4x6148%
SMA 크로스오버
fast=7, slow=66
3.9%-69.6%0.290.062.1x12548%
Parabolic SAR
step=0.01, maxStep=0.16
0.6%-75.8%0.130.011.1x24550%
Buy and hold6.6%-68.1%0.360.103.6x1100%
1x 2007 2010 2013 2016 2019 2022 2025 SupertrendROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -17% -34% -51% -68% 2007 2010 2013 2016 2019 2022 2025 Buy and holdSupertrendROC 모멘텀
ROC 모멘텀 maximum drawdown -45.3% (2009-09-24 → 2026-04-30), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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