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. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.4%, MDD -7.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.4%, drawdown -66.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 2.4%, MDD -37.7%, Sharpe 0.24, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 0.4%, MDD -7.4%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.34 |
2.4% | -37.7% | 0.24 | 0.06 | 1.5x | 97 | 51% |
| Donchian 채널 돌파 entryN=118, exitN=65 |
2.1% | -29.3% | 0.23 | 0.07 | 1.5x | 21 | 37% |
| Supertrend period=24, mult=4.3 |
1.9% | -33.5% | 0.21 | 0.06 | 1.4x | 39 | 54% |
| ROC 모멘텀 n=14, threshold=0.11 |
0.4% | -7.4% | 0.18 | 0.06 | 1.1x | 20 | 1% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=9, mult=2.9 |
0.9% | -27.9% | 0.14 | 0.03 | 1.2x | 32 | 23% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
0.8% | -30.7% | 0.13 | 0.03 | 1.2x | 34 | 16% |
| SMA 크로스오버 fast=37, slow=107 |
-0.1% | -42.2% | 0.06 | -0.00 | 1.0x | 47 | 52% |
| EMA 크로스오버 fast=51, slow=80 |
-0.3% | -50.2% | 0.05 | -0.01 | 0.9x | 43 | 50% |
| ADX / DI 방향성 period=37, threshold=28 |
-0.1% | -22.6% | 0.03 | -0.00 | 1.0x | 20 | 6% |
| MACD fast=19, slow=50, signal=19 |
-3.9% | -72.8% | -0.22 | -0.05 | 0.5x | 185 | 50% |
| Buy and hold | -2.4% | -66.6% | -0.02 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots