Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Sembcorp Industries Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sembcorp Industries Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -40.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.0%, drawdown -79.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -40.1%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 9.5%, MDD -40.1%, exposure 55%).
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=50, slow=171 |
9.5% | -40.1% | 0.54 | 0.24 | 11.1x | 42 | 55% |
| EMA 크로스오버 fast=19, slow=188 |
9.3% | -44.1% | 0.52 | 0.21 | 10.5x | 42 | 57% |
| ROC 모멘텀 n=192, threshold=0.03 |
7.6% | -46.7% | 0.47 | 0.16 | 7.0x | 164 | 52% |
| Donchian 채널 돌파 entryN=17, exitN=78 |
9.0% | -63.8% | 0.46 | 0.14 | 9.9x | 66 | 78% |
| ADX / DI 방향성 period=38, threshold=24 |
3.4% | -26.0% | 0.39 | 0.13 | 2.4x | 24 | 10% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
1.9% | -21.9% | 0.38 | 0.09 | 1.6x | 10 | 3% |
| Supertrend period=17, mult=4.8 |
6.0% | -60.6% | 0.37 | 0.10 | 4.7x | 86 | 56% |
| MACD fast=18, slow=50, signal=17 |
6.0% | -48.3% | 0.36 | 0.12 | 4.7x | 272 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=1.8 |
4.2% | -60.3% | 0.31 | 0.07 | 3.0x | 152 | 42% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-0.4% | -78.2% | 0.09 | -0.01 | 0.9x | 515 | 51% |
| Buy and hold | 6.0% | -79.9% | 0.34 | 0.08 | 4.8x | 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 50-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 50-day average falls below the 171-day average