Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Bangkok Expressway and Metro Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of Bangkok Expressway and Metro Public Company Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -31.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.3%, drawdown -72.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -55.7%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 6.5%, MDD -31.6%, exposure 6%).
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=77, slow=101 |
9.1% | -55.7% | 0.48 | 0.16 | 5.7x | 65 | 48% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=21, mult=4 |
6.0% | -31.6% | 0.47 | 0.19 | 3.2x | 13 | 5% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
6.5% | -31.6% | 0.45 | 0.21 | 3.5x | 32 | 6% |
| MACD fast=13, slow=50, signal=21 |
7.6% | -50.8% | 0.41 | 0.15 | 4.3x | 207 | 50% |
| Donchian 채널 돌파 entryN=58, exitN=27 |
7.1% | -55.9% | 0.41 | 0.13 | 3.9x | 49 | 32% |
| EMA 크로스오버 fast=42, slow=211 |
6.4% | -41.4% | 0.38 | 0.15 | 3.4x | 23 | 48% |
| Parabolic SAR step=0.01, maxStep=0.3 |
6.4% | -51.6% | 0.37 | 0.12 | 3.4x | 185 | 51% |
| ADX / DI 방향성 period=9, threshold=27 |
6.1% | -45.0% | 0.37 | 0.13 | 3.2x | 261 | 35% |
| ROC 모멘텀 n=111, threshold=0.14 |
5.1% | -37.3% | 0.34 | 0.14 | 2.7x | 92 | 20% |
| Supertrend period=20, mult=2.5 |
3.3% | -53.5% | 0.25 | 0.06 | 1.9x | 133 | 50% |
| Buy and hold | 4.3% | -72.5% | 0.30 | 0.06 | 2.3x | 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 77-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 77-day average falls below the 101-day average