Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Suntec Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Suntec Real Estate Investment Trust. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.7%, MDD -26.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -72.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.7%, MDD -26.7%, Sharpe 0.42, 52% exposure.
CAGR reference leader: Parabolic SAR — CAGR 5.0%, MDD -43.6%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 4.7%, MDD -26.7%, exposure 52%).
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=66, slow=202 |
4.7% | -26.7% | 0.42 | 0.18 | 2.4x | 19 | 52% |
| Parabolic SAR step=0.01, maxStep=0.26 |
5.0% | -43.6% | 0.39 | 0.11 | 2.5x | 206 | 53% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=2.6 |
3.5% | -29.6% | 0.35 | 0.12 | 1.9x | 52 | 35% |
| EMA 크로스오버 fast=22, slow=158 |
3.4% | -41.5% | 0.32 | 0.08 | 1.9x | 33 | 52% |
| Supertrend period=9, mult=2.4 |
3.6% | -40.1% | 0.30 | 0.09 | 2.0x | 138 | 56% |
| Donchian 채널 돌파 entryN=116, exitN=33 |
2.5% | -30.6% | 0.28 | 0.08 | 1.6x | 36 | 33% |
| 볼린저 밴드 돌파 n=48, k=0.7 |
2.7% | -45.2% | 0.26 | 0.06 | 1.7x | 134 | 46% |
| MACD fast=13, slow=32, signal=16 |
1.9% | -53.6% | 0.20 | 0.04 | 1.4x | 262 | 51% |
| ADX / DI 방향성 period=31, threshold=16 |
1.6% | -32.4% | 0.19 | 0.05 | 1.3x | 104 | 30% |
| ROC 모멘텀 n=141, threshold=-0.03 |
1.5% | -56.4% | 0.17 | 0.03 | 1.3x | 111 | 62% |
| Buy and hold | -1.0% | -72.0% | 0.08 | -0.01 | 0.8x | 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 66-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 66-day average falls below the 202-day average