Trend-Following Backtester · Guide · backtest 한국어

equity · SG

CapitaLand India Trust backtest

10 trend-following strategies were compared on the full daily history of CapitaLand India Trust. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -16.8%).

Data 2007-11-29 ~ 2026-07-31daily bars 4,688 (18.7 years)Costs 0.5%Venue SGXMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR -1.6%, drawdown -73.1%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -16.8%, Sharpe 0.32, 7% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 2.6%, MDD -36.2%, exposure 28%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 1.9%, MDD -16.8%, exposure 7%).

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
ADX / DI 방향성
period=41, threshold=23
1.9%-16.8%0.320.111.4x147%
Donchian 채널 돌파
entryN=105, exitN=33
2.6%-36.2%0.260.071.6x3228%
SMA 크로스오버
fast=69, slow=132
0.2%-55.7%0.100.001.0x4049%
ROC 모멘텀
n=131, threshold=0.14
0.3%-45.7%0.080.011.1x10418%
EMA 크로스오버
fast=69, slow=212
-0.8%-58.4%0.04-0.010.9x2048%
Supertrend
period=8, mult=4.4
-1.9%-58.0%-0.01-0.030.7x6059%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=9, mult=2
-1.7%-59.9%-0.04-0.030.7x8634%
볼린저 밴드 돌파
n=51, k=2.6
-1.5%-46.7%-0.06-0.030.7x5423%
MACD
fast=22, slow=55, signal=19
-3.9%-72.7%-0.12-0.050.5x18751%
Parabolic SAR
step=0.02, maxStep=0.26
-5.7%-74.2%-0.22-0.080.3x31952%
Buy and hold-1.6%-73.1%0.08-0.020.7x1100%
1x 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -18% -37% -55% -73% 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -16.8% (2008-05-05 → 2009-07-10), recovered after 448 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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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