Trend-Following Backtester · Guide · backtest 한국어
equity · SG
CapitaLand Investment Limited backtest
10 trend-following strategies were compared on the full daily history of CapitaLand Investment Limited. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.1%, MDD -0.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.4%, drawdown -42.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.3%, MDD -4.0%, Sharpe 0.50, 2% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 2.3%, MDD -10.6%, exposure 6%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 1.1%, MDD -0.8%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=3.4 |
1.3% | -4.0% | 0.50 | 0.33 | 1.1x | 2 | 2% |
| ADX / DI 방향성 period=48, threshold=25 |
2.3% | -10.6% | 0.44 | 0.22 | 1.1x | 2 | 6% |
| ROC 모멘텀 n=4, threshold=0.11 |
1.1% | -0.8% | 0.39 | 1.40 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=101, exitN=3 |
1.7% | -8.1% | 0.32 | 0.21 | 1.1x | 12 | 6% |
| 볼린저 밴드 돌파 n=32, k=1.7 |
0.3% | -23.3% | 0.09 | 0.01 | 1.0x | 28 | 27% |
| Supertrend period=24, mult=2.7 |
-0.7% | -28.8% | 0.03 | -0.03 | 1.0x | 30 | 51% |
| SMA 크로스오버 fast=45, slow=94 |
-1.1% | -24.9% | -0.02 | -0.05 | 0.9x | 13 | 37% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.8% | -37.0% | -0.10 | -0.08 | 0.9x | 56 | 52% |
| EMA 크로스오버 fast=23, slow=36 |
-3.2% | -33.3% | -0.15 | -0.10 | 0.8x | 24 | 40% |
| MACD fast=18, slow=54, signal=18 |
-6.4% | -39.9% | -0.35 | -0.16 | 0.7x | 52 | 48% |
| Buy and hold | -2.4% | -42.3% | 0.00 | -0.06 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average