Trend-Following Backtester · Guide · backtest 한국어
equity · TH
B.Grimm Power Public Company Ltd backtest
10 trend-following strategies were compared on the full daily history of B.Grimm Power Public Company Ltd. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -14.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -86.0%).
Sharpe leader (same as main): Supertrend — CAGR 12.4%, MDD -42.2%, Sharpe 0.59, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 4.5%, MDD -14.2%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=2.6 |
12.4% | -42.2% | 0.59 | 0.29 | 2.9x | 54 | 53% |
| ADX / DI 방향성 period=13, threshold=32 |
6.9% | -21.6% | 0.55 | 0.32 | 1.8x | 40 | 14% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
6.5% | -29.0% | 0.50 | 0.22 | 1.8x | 22 | 15% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=30, mult=3.8 |
4.5% | -14.2% | 0.48 | 0.32 | 1.5x | 8 | 8% |
| SMA 크로스오버 fast=40, slow=43 |
8.8% | -54.9% | 0.47 | 0.16 | 2.2x | 89 | 50% |
| MACD fast=30, slow=36, signal=27 |
7.5% | -53.2% | 0.41 | 0.14 | 1.9x | 56 | 50% |
| EMA 크로스오버 fast=11, slow=14 |
7.2% | -57.6% | 0.41 | 0.13 | 1.9x | 94 | 51% |
| Donchian 채널 돌파 entryN=23, exitN=11 |
5.9% | -52.7% | 0.38 | 0.11 | 1.7x | 58 | 37% |
| ROC 모멘텀 n=52, threshold=-0.01 |
4.5% | -63.8% | 0.30 | 0.07 | 1.5x | 95 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.6% | -55.4% | 0.27 | 0.06 | 1.4x | 108 | 50% |
| Buy and hold | 0.2% | -86.0% | 0.20 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)