Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Mapletree Pan Asia Commercial Trust backtest
10 trend-following strategies were compared on the full daily history of Mapletree Pan Asia Commercial Trust. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -22.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.8%, drawdown -54.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -22.4%, Sharpe 0.59, 38% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 6.0%, MDD -22.4%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=103, exitN=37 |
6.0% | -22.4% | 0.59 | 0.27 | 2.4x | 18 | 38% |
| ADX / DI 방향성 period=24, threshold=38 |
1.0% | -6.7% | 0.39 | 0.15 | 1.2x | 2 | 2% |
| ROC 모멘텀 Hold-like · Exposure 98% n=16, threshold=-0.1 |
3.5% | -56.4% | 0.28 | 0.06 | 1.7x | 33 | 98% |
| EMA 크로스오버 fast=59, slow=211 |
2.3% | -39.6% | 0.23 | 0.06 | 1.4x | 14 | 56% |
| SMA 크로스오버 fast=18, slow=172 |
2.1% | -47.1% | 0.23 | 0.04 | 1.4x | 34 | 54% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
1.2% | -16.5% | 0.22 | 0.07 | 1.2x | 12 | 10% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=20, mult=3.9 |
0.6% | -22.3% | 0.15 | 0.03 | 1.1x | 10 | 6% |
| Supertrend period=21, mult=4.5 |
0.9% | -51.6% | 0.13 | 0.02 | 1.1x | 38 | 48% |
| MACD fast=24, slow=109, signal=24 |
0.6% | -45.6% | 0.11 | 0.01 | 1.1x | 97 | 54% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-2.2% | -55.1% | -0.09 | -0.04 | 0.7x | 185 | 57% |
| Buy and hold | 2.8% | -54.4% | 0.24 | 0.05 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 103 days
- Sell — Sell when price breaks below the lowest low of the last 37 days