Trend-Following Backtester · Guide · backtest 한국어

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Lion-Phillip S-REIT ETF backtest

10 trend-following strategies were compared on the full daily history of Lion-Phillip S-REIT ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -3.0%).

Data 2017-10-30 ~ 2026-07-31daily bars 2,203 (8.8 years)Costs 0.5%Venue SGXMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -2.4%, drawdown -40.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -3.3%, Sharpe 0.22, 3% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 0.2%, MDD -3.0%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=12, k=3
0.4%-3.3%0.220.131.0x83%
ROC 모멘텀
n=26, threshold=0.13
0.2%-3.0%0.150.081.0x81%
Donchian 채널 돌파
entryN=117, exitN=26
0.4%-15.9%0.120.031.0x1014%
Parabolic SAR
step=0.005, maxStep=0.26
0.4%-14.3%0.090.031.0x6352%
ADX / DI 방향성
period=35, threshold=23
-0.0%-10.2%-0.00-0.001.0x84%
Keltner 채널 돌파
emaPeriod=6, atrPeriod=29, mult=2.8
-0.0%-4.9%-0.02-0.011.0x41%
Supertrend
period=18, mult=2.7
-1.7%-26.0%-0.13-0.070.9x6947%
MACD
fast=21, slow=24, signal=17
-2.2%-27.2%-0.19-0.080.8x9349%
EMA 크로스오버
fast=50, slow=86
-2.2%-33.9%-0.25-0.060.8x1439%
SMA 크로스오버
fast=56, slow=217
-3.7%-40.6%-0.33-0.090.7x835%
Buy and hold-2.4%-40.3%-0.08-0.060.8x1100%
1x 2018 2020 2022 2024 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -10% -20% -30% -40% 2018 2020 2022 2024 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -3.3% (2024-07-12 → 2025-08-28), recovered after 427 days.

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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