Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Sheng Siong Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sheng Siong Group Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -22.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -33.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -22.7%, Sharpe 0.82, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 10.3%p (CAGR 12.4%, MDD -22.7%, exposure 62%).
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=49, slow=219 |
12.4% | -22.7% | 0.82 | 0.55 | 5.8x | 15 | 62% |
| Supertrend period=25, mult=3.8 |
11.5% | -23.6% | 0.77 | 0.49 | 5.1x | 41 | 60% |
| EMA 크로스오버 fast=51, slow=272 |
12.0% | -22.7% | 0.76 | 0.53 | 5.5x | 11 | 75% |
| Donchian 채널 돌파 entryN=106, exitN=68 |
7.9% | -24.8% | 0.62 | 0.32 | 3.1x | 23 | 50% |
| 볼린저 밴드 돌파 n=76, k=3.4 |
5.5% | -14.2% | 0.60 | 0.39 | 2.2x | 16 | 22% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=2.4 |
6.5% | -23.2% | 0.55 | 0.28 | 2.6x | 48 | 36% |
| ADX / DI 방향성 period=33, threshold=21 |
5.3% | -16.4% | 0.53 | 0.32 | 2.2x | 38 | 23% |
| MACD fast=37, slow=59, signal=44 |
5.8% | -25.0% | 0.47 | 0.23 | 2.3x | 84 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
5.8% | -42.3% | 0.44 | 0.14 | 2.3x | 94 | 53% |
| ROC 모멘텀 n=142, threshold=0.03 |
4.9% | -32.3% | 0.39 | 0.15 | 2.0x | 131 | 55% |
| Buy and hold | 15.8% | -33.0% | 0.81 | 0.48 | 9.0x | 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 49-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 49-day average falls below the 219-day average