Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Mapletree Logistics Trust backtest
10 trend-following strategies were compared on the full daily history of Mapletree Logistics Trust. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -23.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.4%, drawdown -73.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -38.6%, Sharpe 0.41, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 1.2%, MDD -23.6%, exposure 15%).
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=58, slow=204 |
5.0% | -38.6% | 0.41 | 0.13 | 2.5x | 28 | 52% |
| Donchian 채널 돌파 entryN=74, exitN=35 |
4.1% | -42.8% | 0.38 | 0.10 | 2.1x | 38 | 40% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=24, mult=1.7 |
4.0% | -40.8% | 0.37 | 0.10 | 2.1x | 70 | 42% |
| Supertrend period=13, mult=3.8 |
3.1% | -44.1% | 0.27 | 0.07 | 1.8x | 58 | 61% |
| EMA 크로스오버 fast=10, slow=31 |
3.0% | -41.5% | 0.27 | 0.07 | 1.7x | 125 | 57% |
| 볼린저 밴드 돌파 n=54, k=2.4 |
2.0% | -29.5% | 0.23 | 0.07 | 1.5x | 54 | 31% |
| ROC 모멘텀 n=122, threshold=0.08 |
1.9% | -32.0% | 0.22 | 0.06 | 1.4x | 114 | 33% |
| MACD fast=35, slow=67, signal=19 |
2.0% | -41.8% | 0.20 | 0.05 | 1.4x | 127 | 55% |
| ADX / DI 방향성 period=32, threshold=19 |
1.2% | -23.6% | 0.18 | 0.05 | 1.2x | 40 | 15% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.6% | -57.8% | 0.05 | -0.01 | 0.9x | 207 | 56% |
| Buy and hold | 0.4% | -73.6% | 0.14 | 0.00 | 1.1x | 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 58-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 58-day average falls below the 204-day average