Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Keppel REIT backtest
10 trend-following strategies were compared on the full daily history of Keppel REIT. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.5%, MDD -30.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.4%, drawdown -82.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.2%, MDD -32.3%, Sharpe 0.48, 30% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 1.5%, MDD -30.1%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=14 |
5.2% | -32.3% | 0.48 | 0.16 | 2.6x | 82 | 30% |
| SMA 크로스오버 fast=30, slow=125 |
4.0% | -40.8% | 0.36 | 0.10 | 2.1x | 38 | 48% |
| Donchian 채널 돌파 entryN=78, exitN=43 |
3.5% | -40.4% | 0.33 | 0.09 | 1.9x | 34 | 37% |
| EMA 크로스오버 fast=56, slow=80 |
3.0% | -41.2% | 0.29 | 0.07 | 1.7x | 34 | 47% |
| Supertrend period=11, mult=3.9 |
3.1% | -46.4% | 0.28 | 0.07 | 1.8x | 63 | 45% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=36, mult=3.3 |
1.5% | -30.1% | 0.20 | 0.05 | 1.3x | 40 | 17% |
| ROC 모멘텀 n=95, threshold=0.06 |
1.4% | -64.8% | 0.18 | 0.02 | 1.3x | 150 | 31% |
| 볼린저 밴드 돌파 n=41, k=2.1 |
0.9% | -46.0% | 0.13 | 0.02 | 1.2x | 81 | 28% |
| MACD fast=16, slow=53, signal=16 |
-2.9% | -59.8% | -0.11 | -0.05 | 0.6x | 205 | 52% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-3.6% | -76.0% | -0.16 | -0.05 | 0.5x | 327 | 50% |
| Buy and hold | -4.4% | -82.0% | -0.08 | -0.05 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)