Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Singapore Telecommunications Limited backtest
10 trend-following strategies were compared on the full daily history of Singapore Telecommunications Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.9%, drawdown -55.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.1%, MDD -51.8%, Sharpe 0.15, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=52, slow=149 |
1.1% | -51.8% | 0.15 | 0.02 | 1.3x | 52 | 53% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
0.8% | -36.4% | 0.13 | 0.02 | 1.2x | 56 | 21% |
| Donchian 채널 돌파 entryN=47, exitN=71 |
-0.1% | -68.7% | 0.08 | -0.00 | 1.0x | 52 | 64% |
| ADX / DI 방향성 period=38, threshold=39 |
0.1% | -11.9% | 0.05 | 0.01 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=41, slow=86 |
-0.5% | -68.2% | 0.05 | -0.01 | 0.9x | 66 | 55% |
| ROC 모멘텀 n=68, threshold=0.23 |
0.0% | -18.4% | 0.03 | 0.00 | 1.0x | 18 | 2% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=2.8 |
-0.4% | -28.9% | -0.03 | -0.01 | 0.9x | 38 | 6% |
| Supertrend period=27, mult=3.9 |
-1.9% | -56.9% | -0.04 | -0.03 | 0.7x | 100 | 55% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.3% | -68.5% | -0.14 | -0.05 | 0.5x | 165 | 51% |
| MACD fast=18, slow=26, signal=17 |
-7.4% | -86.0% | -0.44 | -0.09 | 0.2x | 309 | 50% |
| Buy and hold | 2.9% | -55.8% | 0.24 | 0.05 | 1.9x | 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 52-day average price crosses above the 149-day average
- Sell — Sell (to cash) when the 52-day average falls below the 149-day average