Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Keppel Ltd. backtest
10 trend-following strategies were compared on the full daily history of Keppel Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -20.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.5%, drawdown -75.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -22.5%, Sharpe 0.50, 30% exposure.
CAGR reference leader: Supertrend — CAGR 7.3%, MDD -35.3%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 4.2%, MDD -20.2%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=116, exitN=29 |
5.5% | -22.5% | 0.50 | 0.24 | 2.8x | 34 | 30% |
| Supertrend period=26, mult=4.3 |
7.3% | -35.3% | 0.50 | 0.21 | 3.9x | 79 | 54% |
| 볼린저 밴드 돌파 n=42, k=3.1 |
4.2% | -20.2% | 0.45 | 0.21 | 2.2x | 30 | 14% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=4 |
5.0% | -23.7% | 0.45 | 0.21 | 2.6x | 46 | 27% |
| ADX / DI 방향성 period=42, threshold=25 |
2.3% | -10.6% | 0.42 | 0.22 | 1.6x | 8 | 7% |
| SMA 크로스오버 fast=33, slow=79 |
5.1% | -59.2% | 0.38 | 0.09 | 2.6x | 69 | 55% |
| EMA 크로스오버 fast=12, slow=45 |
4.6% | -52.7% | 0.35 | 0.09 | 2.4x | 111 | 56% |
| ROC 모멘텀 n=31, threshold=-0.03 |
4.8% | -44.8% | 0.34 | 0.11 | 2.5x | 257 | 70% |
| MACD fast=22, slow=46, signal=20 |
2.9% | -49.5% | 0.25 | 0.06 | 1.7x | 177 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.2% | -61.0% | 0.16 | 0.02 | 1.3x | 303 | 54% |
| Buy and hold | 3.5% | -75.3% | 0.26 | 0.05 | 1.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 116 days
- Sell — Sell when price breaks below the lowest low of the last 29 days