Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Keppel Infrastructure Trust backtest
10 trend-following strategies were compared on the full daily history of Keppel Infrastructure Trust. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.5%, MDD -1.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.7%, drawdown -66.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -1.5%, Sharpe 0.39, 0% exposure.
CAGR reference leader: Parabolic SAR — CAGR 2.1%, MDD -37.7%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 65.1%p (CAGR 0.5%, MDD -1.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=7, threshold=0.14 |
0.5% | -1.5% | 0.39 | 0.31 | 1.1x | 6 | 0% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.1% | -37.7% | 0.22 | 0.05 | 1.5x | 98 | 51% |
| Supertrend period=21, mult=4.5 |
2.0% | -33.5% | 0.22 | 0.06 | 1.4x | 36 | 52% |
| Donchian 채널 돌파 entryN=113, exitN=65 |
1.7% | -28.7% | 0.20 | 0.06 | 1.4x | 22 | 38% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=12, mult=3 |
1.0% | -29.9% | 0.15 | 0.03 | 1.2x | 32 | 23% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
0.8% | -30.9% | 0.13 | 0.02 | 1.2x | 32 | 16% |
| SMA 크로스오버 fast=44, slow=106 |
0.2% | -40.7% | 0.09 | 0.01 | 1.0x | 46 | 52% |
| EMA 크로스오버 fast=51, slow=82 |
-0.2% | -45.1% | 0.05 | -0.00 | 1.0x | 40 | 50% |
| ADX / DI 방향성 period=35, threshold=39 |
0.0% | -11.9% | 0.02 | 0.00 | 1.0x | 8 | 1% |
| MACD fast=50, slow=92, signal=34 |
-0.7% | -48.3% | 0.02 | -0.01 | 0.9x | 90 | 49% |
| Buy and hold | -2.7% | -66.6% | -0.03 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than 14%
- Sell — Sell when the 7-day return drops to 14% or below