Trend-Following Backtester · Guide · backtest 한국어
equity · SG
First Resources Ltd. (Singapore) backtest
10 trend-following strategies were compared on the full daily history of First Resources Ltd. (Singapore). 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.2%, MDD -55.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -89.7%).
Sharpe leader (same as main): Supertrend — CAGR 9.5%, MDD -70.5%, Sharpe 0.45, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 9.2%, MDD -55.5%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=3.9 |
9.5% | -70.5% | 0.45 | 0.13 | 5.5x | 81 | 61% |
| Donchian 채널 돌파 entryN=24, exitN=63 |
9.2% | -55.5% | 0.44 | 0.17 | 5.2x | 53 | 74% |
| SMA 크로스오버 fast=13, slow=65 |
6.8% | -63.3% | 0.39 | 0.11 | 3.4x | 93 | 54% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
5.5% | -59.3% | 0.37 | 0.09 | 2.7x | 53 | 27% |
| MACD fast=24, slow=48, signal=15 |
6.8% | -73.1% | 0.37 | 0.09 | 3.4x | 199 | 51% |
| EMA 크로스오버 fast=25, slow=217 |
5.7% | -73.3% | 0.35 | 0.08 | 2.8x | 37 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=3.9 |
4.3% | -39.4% | 0.35 | 0.11 | 2.2x | 31 | 14% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.9% | -63.1% | 0.34 | 0.09 | 2.9x | 283 | 51% |
| ROC 모멘텀 n=118, threshold=0.08 |
5.1% | -79.6% | 0.33 | 0.06 | 2.5x | 155 | 37% |
| ADX / DI 방향성 period=16, threshold=12 |
2.1% | -81.4% | 0.21 | 0.03 | 1.5x | 339 | 52% |
| Buy and hold | 7.3% | -89.7% | 0.37 | 0.08 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)