Trend-Following Backtester · Guide · backtest 한국어
etf · SG
Amova SGD Investment Grade Corporate Bond Index ETF Units backtest
10 trend-following strategies were compared on the full daily history of Amova SGD Investment Grade Corporate Bond Index ETF Units. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 0.8%, MDD -4.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.0%, drawdown -17.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.8%, MDD -4.3%, Sharpe 0.32, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 12.9%p (CAGR 0.8%, MDD -4.3%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=181 |
0.8% | -4.3% | 0.32 | 0.18 | 1.1x | 8 | 52% |
| Donchian 채널 돌파 entryN=24, exitN=65 |
0.6% | -8.6% | 0.22 | 0.07 | 1.1x | 16 | 67% |
| EMA 크로스오버 fast=59, slow=130 |
0.5% | -5.4% | 0.20 | 0.10 | 1.0x | 8 | 57% |
| ROC 모멘텀 n=125, threshold=-0.05 |
0.3% | -13.8% | 0.12 | 0.02 | 1.0x | 7 | 85% |
| Supertrend period=30, mult=4.8 |
-0.0% | -7.7% | 0.01 | -0.00 | 1.0x | 16 | 60% |
| 볼린저 밴드 돌파 n=64, k=2 |
-0.1% | -9.0% | -0.03 | -0.01 | 1.0x | 14 | 40% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=4 |
-0.1% | -6.0% | -0.06 | -0.02 | 1.0x | 8 | 19% |
| ADX / DI 방향성 period=39, threshold=18 |
-0.4% | -11.6% | -0.12 | -0.03 | 1.0x | 24 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.0% | -16.3% | -0.65 | -0.12 | 0.9x | 48 | 54% |
| MACD fast=17, slow=42, signal=19 |
-4.1% | -29.2% | -1.35 | -0.14 | 0.7x | 72 | 52% |
| Buy and hold | -0.0% | -17.3% | 0.02 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 44-day average falls below the 181-day average