Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Banpu Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Banpu Public Co. Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.0%, MDD -18.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.1%, drawdown -80.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.0%, MDD -18.4%, Sharpe 0.45, 8% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 5.0%, MDD -18.4%, exposure 8%).
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=17, threshold=0.09 |
5.0% | -18.4% | 0.45 | 0.27 | 1.6x | 54 | 8% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
4.6% | -18.9% | 0.39 | 0.24 | 1.6x | 6 | 9% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=37, mult=3.5 |
2.1% | -19.6% | 0.25 | 0.11 | 1.2x | 8 | 4% |
| ADX / DI 방향성 period=26, threshold=19 |
2.8% | -22.4% | 0.25 | 0.12 | 1.3x | 28 | 17% |
| Donchian 채널 돌파 entryN=104, exitN=33 |
1.2% | -36.5% | 0.15 | 0.03 | 1.1x | 12 | 16% |
| Supertrend period=34, mult=4.5 |
0.7% | -49.1% | 0.13 | 0.01 | 1.1x | 28 | 46% |
| EMA 크로스오버 fast=75, slow=189 |
0.8% | -27.6% | 0.13 | 0.03 | 1.1x | 7 | 24% |
| SMA 크로스오버 fast=52, slow=127 |
-0.6% | -46.2% | 0.06 | -0.01 | 0.9x | 24 | 31% |
| MACD fast=17, slow=48, signal=14 |
-4.3% | -63.6% | -0.12 | -0.07 | 0.7x | 129 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-5.9% | -58.5% | -0.21 | -0.10 | 0.6x | 115 | 45% |
| Buy and hold | -8.1% | -80.0% | -0.15 | -0.10 | 0.4x | 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 17-day return is greater than 9%
- Sell — Sell when the 17-day return drops to 9% or below