Trend-Following Backtester · Guide · backtest 한국어
etf · SG
Amova STI SGD ETF Units backtest
10 trend-following strategies were compared on the full daily history of Amova STI SGD ETF Units. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -38.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -28.1%, Sharpe 0.64, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=6, threshold=-0.09 |
8.2% | -28.1% | 0.64 | 0.29 | 4.0x | 9 | 100% |
| SMA 크로스오버 fast=55, slow=194 |
4.9% | -18.2% | 0.55 | 0.27 | 2.3x | 23 | 63% |
| ADX / DI 방향성 period=49, threshold=23 |
2.0% | -5.6% | 0.53 | 0.36 | 1.4x | 9 | 8% |
| Supertrend period=13, mult=4.1 |
3.2% | -45.1% | 0.37 | 0.07 | 1.7x | 99 | 60% |
| Donchian 채널 돌파 entryN=89, exitN=54 |
2.3% | -22.1% | 0.31 | 0.10 | 1.5x | 31 | 54% |
| EMA 크로스오버 fast=45, slow=177 |
2.2% | -35.5% | 0.27 | 0.06 | 1.5x | 29 | 66% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=4 |
1.2% | -32.2% | 0.21 | 0.04 | 1.2x | 51 | 31% |
| 볼린저 밴드 돌파 n=24, k=2.8 |
0.3% | -16.1% | 0.08 | 0.02 | 1.0x | 32 | 8% |
| Parabolic SAR step=0.015, maxStep=0.08 |
0.0% | -46.3% | 0.05 | 0.00 | 1.0x | 259 | 56% |
| MACD fast=18, slow=26, signal=10 |
-1.7% | -47.3% | -0.14 | -0.03 | 0.7x | 264 | 48% |
| Buy and hold | 7.7% | -38.5% | 0.58 | 0.20 | 3.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 6-day return is greater than -9%
- Sell — Sell when the 6-day return drops to -9% or below