Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Thai Beverage Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Thai Beverage Public Co., Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -25.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.7%, drawdown -61.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.9%, MDD -37.0%, Sharpe 0.30, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 3.1%, MDD -25.4%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=95, exitN=67 |
3.9% | -37.0% | 0.30 | 0.11 | 2.2x | 26 | 39% |
| 볼린저 밴드 돌파 n=70, k=2.4 |
3.1% | -25.4% | 0.28 | 0.12 | 1.9x | 40 | 23% |
| SMA 크로스오버 fast=50, slow=108 |
3.5% | -38.3% | 0.27 | 0.09 | 2.0x | 43 | 46% |
| EMA 크로스오버 fast=41, slow=55 |
2.7% | -47.8% | 0.23 | 0.06 | 1.7x | 65 | 48% |
| Supertrend period=9, mult=5 |
2.3% | -43.6% | 0.21 | 0.05 | 1.6x | 43 | 49% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=27, mult=3.1 |
1.6% | -23.7% | 0.19 | 0.07 | 1.4x | 42 | 14% |
| ADX / DI 방향성 period=32, threshold=22 |
1.0% | -22.9% | 0.15 | 0.05 | 1.2x | 32 | 13% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.8% | -49.3% | 0.14 | 0.02 | 1.2x | 121 | 50% |
| ROC 모멘텀 n=123, threshold=0.07 |
-1.6% | -49.5% | -0.01 | -0.03 | 0.7x | 158 | 31% |
| MACD fast=19, slow=50, signal=19 |
-7.2% | -79.3% | -0.27 | -0.09 | 0.2x | 229 | 47% |
| Buy and hold | 2.7% | -61.1% | 0.23 | 0.04 | 1.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 95 days
- Sell — Sell when price breaks below the lowest low of the last 67 days