Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Singapore Exchange Ltd. backtest
10 trend-following strategies were compared on the full daily history of Singapore Exchange 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 12.1%, MDD -47.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -47.0%, Sharpe 0.65, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 28.5%p (CAGR 12.1%, MDD -47.0%, exposure 58%).
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=34, slow=141 |
12.1% | -47.0% | 0.65 | 0.26 | 18.8x | 45 | 58% |
| Donchian 채널 돌파 entryN=77, exitN=55 |
10.6% | -46.3% | 0.62 | 0.23 | 13.5x | 43 | 52% |
| EMA 크로스오버 fast=50, slow=108 |
10.0% | -58.8% | 0.56 | 0.17 | 11.7x | 49 | 61% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=2.7 |
7.8% | -42.3% | 0.55 | 0.18 | 6.9x | 101 | 31% |
| Supertrend period=25, mult=4.4 |
8.8% | -47.0% | 0.53 | 0.19 | 8.8x | 99 | 58% |
| ADX / DI 방향성 period=39, threshold=13 |
6.9% | -54.2% | 0.49 | 0.13 | 5.6x | 119 | 30% |
| ROC 모멘텀 n=133, threshold=0.06 |
6.9% | -68.3% | 0.45 | 0.10 | 5.6x | 195 | 44% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
6.0% | -50.5% | 0.43 | 0.12 | 4.5x | 99 | 37% |
| Parabolic SAR step=0.005, maxStep=0.02 |
5.4% | -65.9% | 0.37 | 0.08 | 3.9x | 127 | 57% |
| MACD fast=19, slow=45, signal=24 |
0.9% | -70.1% | 0.14 | 0.01 | 1.3x | 269 | 52% |
| Buy and hold | 12.1% | -75.5% | 0.56 | 0.16 | 18.9x | 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 34-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 34-day average falls below the 141-day average