Trend-Following Backtester · Guide · backtest 한국어

equity · SG

CapitaLand Ascendas REIT backtest

10 trend-following strategies were compared on the full daily history of CapitaLand Ascendas REIT. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.

Data 2005-09-30 ~ 2026-07-31daily bars 5,238 (20.8 years)Costs 0.5%Venue SGXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 0.8%, drawdown -67.8%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.3%, MDD -13.4%, Sharpe 0.08, 3% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=31, k=3.4
0.3%-13.4%0.080.021.1x103%
ROC 모멘텀
n=94, threshold=-0.1
-2.0%-53.8%0.01-0.040.7x10789%
SMA 크로스오버
fast=52, slow=142
-2.1%-63.1%-0.04-0.030.6x4453%
Donchian 채널 돌파
entryN=22, exitN=30
-2.3%-61.5%-0.04-0.040.6x9360%
ADX / DI 방향성
period=36, threshold=25
-0.1%-6.9%-0.05-0.011.0x41%
Supertrend
period=28, mult=4.3
-2.6%-61.9%-0.08-0.040.6x7452%
Keltner 채널 돌파
emaPeriod=24, atrPeriod=19, mult=4
-0.6%-19.9%-0.17-0.030.9x61%
EMA 크로스오버
fast=9, slow=75
-4.3%-71.3%-0.19-0.060.4x12754%
Parabolic SAR
step=0.015, maxStep=0.08
-5.5%-75.3%-0.23-0.070.3x30952%
MACD
fast=13, slow=47, signal=16
-9.2%-90.3%-0.45-0.100.1x28952%
Buy and hold0.8%-67.8%0.160.011.2x1100%
1x 2006 2009 2012 2015 2018 2021 2024 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 2006 2009 2012 2015 2018 2021 2024 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -13.4% (2007-01-03 → 2010-01-25), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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