Trend-Following Backtester · Guide · backtest 한국어
equity · SG
CapitaLand Ascott Trust backtest
10 trend-following strategies were compared on the full daily history of CapitaLand Ascott Trust. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.5%, MDD -18.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.9%, drawdown -79.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.5%, MDD -18.7%, Sharpe 0.49, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 60.3%p (CAGR 3.5%, MDD -18.7%, exposure 5%).
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=147, threshold=0.28 |
3.5% | -18.7% | 0.49 | 0.19 | 1.9x | 18 | 5% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
2.3% | -27.7% | 0.33 | 0.08 | 1.5x | 8 | 5% |
| SMA 크로스오버 fast=52, slow=141 |
2.5% | -38.0% | 0.25 | 0.07 | 1.6x | 28 | 51% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=19, mult=4 |
1.6% | -21.8% | 0.24 | 0.08 | 1.4x | 14 | 5% |
| ADX / DI 방향성 period=39, threshold=24 |
1.3% | -21.1% | 0.24 | 0.06 | 1.3x | 6 | 3% |
| Donchian 채널 돌파 entryN=64, exitN=45 |
1.9% | -49.7% | 0.21 | 0.04 | 1.4x | 40 | 40% |
| EMA 크로스오버 fast=23, slow=121 |
1.2% | -39.0% | 0.16 | 0.03 | 1.3x | 40 | 49% |
| Supertrend period=21, mult=3.5 |
0.8% | -50.9% | 0.13 | 0.02 | 1.2x | 88 | 51% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-1.2% | -51.8% | 0.01 | -0.02 | 0.8x | 194 | 50% |
| MACD fast=7, slow=41, signal=18 |
-4.8% | -80.1% | -0.20 | -0.06 | 0.4x | 312 | 50% |
| Buy and hold | -2.9% | -79.0% | 0.01 | -0.04 | 0.6x | 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 147-day return is greater than 28%
- Sell — Sell when the 147-day return drops to 28% or below