Trend-Following Backtester · Guide · backtest 한국어
etf · TH
BCAP MSCI Thailand ETF backtest
10 trend-following strategies were compared on the full daily history of BCAP MSCI Thailand ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -9.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.2%, drawdown -45.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.5%, MDD -9.2%, Sharpe 0.71, 12% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 3.5%, MDD -10.4%, exposure 16%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 3.5%, MDD -9.2%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=3.3 |
3.5% | -9.2% | 0.71 | 0.38 | 1.4x | 6 | 12% |
| ADX / DI 방향성 period=39, threshold=17 |
3.5% | -10.4% | 0.56 | 0.34 | 1.4x | 22 | 16% |
| ROC 모멘텀 n=132, threshold=0.14 |
2.5% | -9.2% | 0.47 | 0.27 | 1.3x | 17 | 12% |
| Donchian 채널 돌파 entryN=76, exitN=51 |
3.1% | -15.2% | 0.42 | 0.20 | 1.4x | 15 | 43% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=8, mult=3.8 |
0.6% | -2.9% | 0.37 | 0.19 | 1.1x | 4 | 3% |
| EMA 크로스오버 fast=55, slow=69 |
2.2% | -27.6% | 0.29 | 0.08 | 1.3x | 19 | 51% |
| SMA 크로스오버 fast=57, slow=93 |
2.1% | -31.0% | 0.27 | 0.07 | 1.2x | 27 | 52% |
| Supertrend period=21, mult=2.5 |
1.9% | -36.0% | 0.23 | 0.05 | 1.2x | 107 | 55% |
| Parabolic SAR step=0.005, maxStep=0.02 |
0.3% | -38.3% | 0.08 | 0.01 | 1.0x | 50 | 56% |
| MACD fast=17, slow=51, signal=22 |
-0.7% | -36.5% | -0.03 | -0.02 | 0.9x | 94 | 45% |
| Buy and hold | 2.2% | -45.7% | 0.22 | 0.05 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 53-day middle average