Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Bangkok Bank Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of Bangkok Bank Public Company Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -40.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.2%, drawdown -67.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -40.6%, Sharpe 0.41, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 6.4%, MDD -40.6%, exposure 54%).
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=61, exitN=55 |
6.4% | -40.6% | 0.41 | 0.16 | 5.2x | 47 | 54% |
| SMA 크로스오버 fast=41, slow=128 |
6.2% | -45.2% | 0.39 | 0.14 | 4.9x | 55 | 55% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
2.8% | -19.7% | 0.35 | 0.14 | 2.1x | 20 | 5% |
| ROC 모멘텀 n=147, threshold=-0.09 |
5.4% | -54.5% | 0.34 | 0.10 | 4.1x | 147 | 79% |
| EMA 크로스오버 fast=33, slow=57 |
4.1% | -43.4% | 0.30 | 0.09 | 2.9x | 79 | 56% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=17, mult=2.6 |
0.4% | -40.6% | 0.09 | 0.01 | 1.1x | 86 | 9% |
| Supertrend period=22, mult=5 |
-0.6% | -52.6% | 0.07 | -0.01 | 0.9x | 87 | 47% |
| MACD fast=19, slow=71, signal=23 |
-0.9% | -51.3% | 0.05 | -0.02 | 0.8x | 227 | 51% |
| ADX / DI 방향성 period=27, threshold=19 |
-1.1% | -62.5% | 0.01 | -0.02 | 0.8x | 117 | 20% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-4.1% | -85.1% | -0.11 | -0.05 | 0.3x | 572 | 51% |
| Buy and hold | 4.2% | -67.3% | 0.29 | 0.06 | 3.0x | 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 61 days
- Sell — Sell when price breaks below the lowest low of the last 55 days