Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Suntec Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Suntec Real Estate Investment Trust. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -26.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -72.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -26.7%, Sharpe 0.42, 51% exposure.
CAGR reference leader: Parabolic SAR — CAGR 5.5%, MDD -43.6%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 4.8%, MDD -26.7%, exposure 51%).
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=66, slow=202 |
4.8% | -26.7% | 0.42 | 0.18 | 2.4x | 19 | 51% |
| Parabolic SAR step=0.01, maxStep=0.26 |
5.5% | -43.6% | 0.41 | 0.13 | 2.7x | 203 | 53% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=2.6 |
3.6% | -29.6% | 0.35 | 0.12 | 1.9x | 52 | 35% |
| EMA 크로스오버 fast=22, slow=158 |
3.5% | -41.5% | 0.33 | 0.09 | 1.9x | 33 | 52% |
| Donchian 채널 돌파 entryN=116, exitN=33 |
3.0% | -30.6% | 0.32 | 0.10 | 1.7x | 34 | 33% |
| Supertrend period=9, mult=2.4 |
3.8% | -40.1% | 0.31 | 0.10 | 2.0x | 137 | 56% |
| 볼린저 밴드 돌파 n=48, k=0.7 |
2.8% | -45.2% | 0.26 | 0.06 | 1.7x | 133 | 46% |
| MACD fast=13, slow=32, signal=16 |
2.3% | -53.6% | 0.22 | 0.04 | 1.5x | 259 | 51% |
| ADX / DI 방향성 period=31, threshold=16 |
1.6% | -32.4% | 0.19 | 0.05 | 1.3x | 104 | 30% |
| ROC 모멘텀 n=141, threshold=-0.03 |
1.6% | -56.4% | 0.18 | 0.03 | 1.3x | 111 | 62% |
| Buy and hold | -0.9% | -72.0% | 0.08 | -0.01 | 0.8x | 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 66-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 66-day average falls below the 202-day average