Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Bangkok Dusit Medical Services Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bangkok Dusit Medical Services Public Co. Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.5%, MDD -41.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.5%, drawdown -70.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.4%, MDD -45.1%, Sharpe 0.82, 64% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.5%, MDD -41.7%, exposure 66%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 25.0%p (CAGR 19.5%, MDD -41.7%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=93 |
19.4% | -45.1% | 0.82 | 0.43 | 111.4x | 85 | 64% |
| SMA 크로스오버 fast=15, slow=193 |
19.5% | -41.7% | 0.81 | 0.47 | 112.8x | 37 | 66% |
| Donchian 채널 돌파 entryN=91, exitN=68 |
18.2% | -48.5% | 0.78 | 0.37 | 83.9x | 40 | 61% |
| Supertrend period=6, mult=4.6 |
16.1% | -49.7% | 0.73 | 0.32 | 52.9x | 77 | 62% |
| ROC 모멘텀 n=128, threshold=-0.03 |
15.6% | -70.1% | 0.67 | 0.22 | 46.3x | 176 | 71% |
| ADX / DI 방향성 period=47, threshold=16 |
13.1% | -38.1% | 0.66 | 0.34 | 26.0x | 68 | 34% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=19, mult=2.9 |
12.5% | -58.6% | 0.63 | 0.21 | 22.9x | 78 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
13.1% | -63.8% | 0.62 | 0.21 | 26.2x | 151 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
8.1% | -53.5% | 0.48 | 0.15 | 7.9x | 113 | 40% |
| MACD fast=19, slow=44, signal=24 |
6.0% | -50.8% | 0.37 | 0.12 | 4.7x | 230 | 49% |
| Buy and hold | 19.5% | -70.1% | 0.70 | 0.28 | 112.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 93-day EMA
- Sell — Sell when the 9-day EMA falls below the 93-day EMA