Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Mapletree Industrial Trust backtest
10 trend-following strategies were compared on the full daily history of Mapletree Industrial Trust. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.3%, drawdown -44.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.7%, MDD -43.1%, Sharpe 0.35, 99% 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 99% n=2, threshold=-0.05 |
4.7% | -43.1% | 0.35 | 0.11 | 2.1x | 29 | 99% |
| ADX / DI 방향성 period=31, threshold=38 |
0.5% | -3.5% | 0.31 | 0.16 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=8, mult=3.4 |
0.5% | -3.4% | 0.27 | 0.15 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=32, k=2.5 |
1.7% | -18.5% | 0.24 | 0.09 | 1.3x | 58 | 24% |
| Supertrend period=28, mult=4.3 |
1.5% | -28.6% | 0.18 | 0.05 | 1.3x | 48 | 56% |
| Donchian 채널 돌파 entryN=108, exitN=27 |
1.2% | -31.9% | 0.17 | 0.04 | 1.2x | 32 | 29% |
| EMA 크로스오버 fast=47, slow=206 |
1.2% | -40.6% | 0.15 | 0.03 | 1.2x | 26 | 54% |
| SMA 크로스오버 fast=33, slow=96 |
0.8% | -45.5% | 0.12 | 0.02 | 1.1x | 44 | 55% |
| MACD fast=24, slow=35, signal=18 |
-0.6% | -32.8% | 0.00 | -0.02 | 0.9x | 155 | 53% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.8% | -35.0% | -0.01 | -0.02 | 0.9x | 113 | 53% |
| Buy and hold | 3.3% | -44.9% | 0.27 | 0.07 | 1.7x | 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 2-day return is greater than -5%
- Sell — Sell when the 2-day return drops to -5% or below