Trend-Following Backtester · Guide · backtest 한국어
equity · SG
DBS Group Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of DBS Group Holdings Ltd. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -20.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.3%, drawdown -76.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -27.8%, Sharpe 0.56, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.8%, MDD -61.4%, exposure 80%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 4.3%, MDD -20.2%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=174 |
7.8% | -27.8% | 0.56 | 0.28 | 7.4x | 37 | 62% |
| EMA 크로스오버 fast=38, slow=168 |
7.0% | -32.7% | 0.52 | 0.21 | 6.1x | 35 | 63% |
| Donchian 채널 돌파 entryN=22, exitN=78 |
7.8% | -61.4% | 0.49 | 0.13 | 7.5x | 55 | 80% |
| 볼린저 밴드 돌파 n=69, k=2.9 |
4.3% | -20.2% | 0.46 | 0.22 | 3.1x | 41 | 23% |
| ADX / DI 방향성 period=32, threshold=10 |
5.2% | -35.9% | 0.42 | 0.15 | 3.9x | 261 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=29, mult=3.1 |
3.6% | -35.1% | 0.35 | 0.10 | 2.5x | 93 | 32% |
| Supertrend period=13, mult=4.8 |
4.4% | -41.6% | 0.34 | 0.11 | 3.1x | 101 | 60% |
| ROC 모멘텀 n=82, threshold=-0.04 |
4.3% | -54.5% | 0.33 | 0.08 | 3.1x | 219 | 71% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-1.6% | -72.6% | -0.01 | -0.02 | 0.6x | 736 | 52% |
| MACD fast=22, slow=32, signal=23 |
-2.0% | -81.1% | -0.04 | -0.02 | 0.6x | 290 | 50% |
| Buy and hold | 4.3% | -76.5% | 0.30 | 0.06 | 3.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 46-day average falls below the 174-day average