Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Singapore Technologies Engineering Ltd backtest
10 trend-following strategies were compared on the full daily history of Singapore Technologies Engineering Ltd. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -36.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -50.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -36.1%, Sharpe 0.46, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 6.5%, MDD -36.1%, exposure 60%).
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=67, slow=203 |
6.5% | -36.1% | 0.46 | 0.18 | 5.3x | 27 | 60% |
| EMA 크로스오버 fast=48, slow=170 |
5.1% | -48.0% | 0.37 | 0.11 | 3.8x | 31 | 62% |
| Donchian 채널 돌파 entryN=102, exitN=76 |
4.6% | -44.2% | 0.36 | 0.10 | 3.3x | 35 | 52% |
| Supertrend period=13, mult=5 |
3.7% | -42.9% | 0.29 | 0.09 | 2.6x | 63 | 62% |
| ADX / DI 방향성 period=36, threshold=34 |
0.8% | -10.0% | 0.24 | 0.08 | 1.2x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=14, mult=3.8 |
1.0% | -28.6% | 0.17 | 0.04 | 1.3x | 32 | 10% |
| ROC 모멘텀 n=92, threshold=-0.04 |
0.2% | -70.4% | 0.10 | 0.00 | 1.1x | 244 | 72% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.0% | -5.3% | 0.03 | 0.01 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.3% | -84.2% | -0.16 | -0.05 | 0.3x | 214 | 55% |
| MACD fast=18, slow=35, signal=19 |
-6.7% | -88.9% | -0.33 | -0.07 | 0.2x | 326 | 48% |
| Buy and hold | 5.2% | -50.0% | 0.33 | 0.10 | 3.9x | 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 67-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 67-day average falls below the 203-day average