Trend-Following Backtester · Guide · backtest 한국어
equity · SG
CapitaLand Integrated Commercial Trust backtest
10 trend-following strategies were compared on the full daily history of CapitaLand Integrated Commercial Trust. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.1%, MDD -3.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.9%, drawdown -68.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.1%, MDD -45.4%, Sharpe 0.20, 93% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR -0.1%, MDD -3.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=72, threshold=-0.14 |
2.1% | -45.4% | 0.20 | 0.05 | 1.5x | 41 | 93% |
| SMA 크로스오버 fast=53, slow=184 |
1.1% | -31.1% | 0.15 | 0.04 | 1.2x | 29 | 55% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
0.1% | -4.1% | 0.06 | 0.02 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=73, slow=136 |
-1.0% | -40.4% | -0.01 | -0.03 | 0.8x | 31 | 56% |
| Donchian 채널 돌파 entryN=62, exitN=69 |
-1.2% | -44.6% | -0.02 | -0.03 | 0.8x | 31 | 53% |
| Supertrend period=23, mult=5 |
-2.4% | -56.1% | -0.07 | -0.04 | 0.6x | 43 | 56% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=9, mult=4 |
-0.1% | -3.5% | -0.07 | -0.02 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=38, threshold=26 |
-0.2% | -7.4% | -0.07 | -0.03 | 1.0x | 4 | 2% |
| MACD fast=13, slow=29, signal=17 |
-9.5% | -87.1% | -0.50 | -0.11 | 0.2x | 274 | 51% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-9.5% | -86.4% | -0.52 | -0.11 | 0.2x | 372 | 53% |
| Buy and hold | -0.9% | -68.0% | 0.08 | -0.01 | 0.8x | 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 72-day return is greater than -14%
- Sell — Sell when the 72-day return drops to -14% or below