Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Bumrungrad Hospital Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bumrungrad Hospital Public Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 17.5%, MDD -45.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.1%, drawdown -65.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -40.6%, Sharpe 0.73, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.7%, MDD -55.6%, exposure 86%.
Return/drawdown alternative: MACD — CAGR is 6.8%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 17.5%, MDD -45.6%, exposure 56%).
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=57, slow=277 |
14.2% | -40.6% | 0.73 | 0.35 | 34.8x | 15 | 58% |
| EMA 크로스오버 fast=74, slow=241 |
14.0% | -39.9% | 0.73 | 0.35 | 33.2x | 9 | 56% |
| ROC 모멘텀 n=192, threshold=0.04 |
11.4% | -38.5% | 0.62 | 0.30 | 17.8x | 107 | 52% |
| ADX / DI 방향성 period=24, threshold=27 |
5.9% | -21.8% | 0.50 | 0.27 | 4.7x | 58 | 18% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
7.0% | -37.1% | 0.45 | 0.19 | 6.1x | 149 | 37% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=2 |
6.2% | -42.6% | 0.42 | 0.14 | 4.9x | 119 | 34% |
| Donchian 채널 돌파 entryN=15, exitN=73 |
23.7% | -55.6% | 0.27 | 0.43 | 290.7x | 55 | 86% |
| Supertrend period=9, mult=2.7 |
18.1% | -56.0% | 0.24 | 0.32 | 84.6x | 163 | 63% |
| MACD fast=18, slow=55, signal=23 |
17.5% | -45.6% | 0.24 | 0.38 | 73.4x | 201 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
17.1% | -51.8% | 0.24 | 0.33 | 67.6x | 147 | 60% |
| Buy and hold | 21.1% | -65.9% | 0.26 | 0.32 | 164.3x | 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 57-day average price crosses above the 277-day average
- Sell — Sell (to cash) when the 57-day average falls below the 277-day average