Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Genting Singapore Limited backtest
10 trend-following strategies were compared on the full daily history of Genting Singapore Limited. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -47.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -78.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.0%, MDD -47.3%, Sharpe 0.44, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.9%, MDD -64.8%, exposure 40%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 8.0%, MDD -47.3%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=5, mult=3.9 |
8.0% | -47.3% | 0.44 | 0.17 | 7.8x | 40 | 20% |
| SMA 크로스오버 fast=53, slow=147 |
8.9% | -64.8% | 0.44 | 0.14 | 9.5x | 46 | 40% |
| Donchian 채널 돌파 entryN=97, exitN=34 |
6.8% | -48.9% | 0.39 | 0.14 | 5.7x | 40 | 23% |
| ROC 모멘텀 n=69, threshold=0.15 |
6.7% | -60.8% | 0.38 | 0.11 | 5.6x | 168 | 19% |
| Supertrend period=13, mult=2.7 |
4.7% | -70.9% | 0.30 | 0.07 | 3.4x | 193 | 45% |
| ADX / DI 방향성 period=33, threshold=10 |
3.7% | -69.1% | 0.27 | 0.05 | 2.6x | 257 | 48% |
| MACD fast=17, slow=57, signal=22 |
3.4% | -80.1% | 0.26 | 0.04 | 2.4x | 251 | 49% |
| 볼린저 밴드 돌파 n=22, k=1.7 |
3.3% | -80.9% | 0.25 | 0.04 | 2.3x | 237 | 30% |
| EMA 크로스오버 fast=56, slow=158 |
3.2% | -63.5% | 0.25 | 0.05 | 2.3x | 40 | 39% |
| Parabolic SAR step=0.015, maxStep=0.24 |
3.1% | -79.6% | 0.24 | 0.04 | 2.2x | 387 | 48% |
| Buy and hold | 1.0% | -78.3% | 0.23 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 81-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 81-day average