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 ADX / DI 방향성 (CAGR 7.6%, MDD -19.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.4%, drawdown -86.0%).
Sharpe leader (same as main): Supertrend — CAGR 15.1%, MDD -42.2%, Sharpe 0.68, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 7.6%, MDD -19.2%, exposure 17%).
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 |
15.1% | -42.2% | 0.68 | 0.36 | 3.6x | 51 | 53% |
| ADX / DI 방향성 period=12, threshold=32 |
7.6% | -19.2% | 0.58 | 0.39 | 1.9x | 40 | 17% |
| 볼린저 밴드 돌파 n=33, k=2.2 |
8.3% | -38.9% | 0.53 | 0.21 | 2.1x | 39 | 29% |
| Donchian 채널 돌파 entryN=15, exitN=11 |
9.2% | -55.3% | 0.50 | 0.17 | 2.2x | 67 | 45% |
| SMA 크로스오버 fast=24, slow=93 |
7.4% | -57.1% | 0.43 | 0.13 | 1.9x | 23 | 44% |
| MACD fast=14, slow=62, signal=27 |
7.5% | -58.8% | 0.41 | 0.13 | 1.9x | 65 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=2.1 |
6.1% | -27.9% | 0.40 | 0.22 | 1.7x | 37 | 31% |
| ROC 모멘텀 n=49, threshold=0.06 |
6.1% | -47.3% | 0.39 | 0.13 | 1.7x | 101 | 37% |
| EMA 크로스오버 fast=22, slow=24 |
6.6% | -63.6% | 0.39 | 0.10 | 1.8x | 49 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.1% | -63.2% | 0.33 | 0.08 | 1.6x | 65 | 50% |
| Buy and hold | 0.4% | -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)