Trend-Following Backtester · Guide · backtest 한국어
etf · TH
BCAP SET100 ETF backtest
10 trend-following strategies were compared on the full daily history of BCAP SET100 ETF. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.8%, MDD -13.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -42.7%).
Sharpe leader (same as main): Supertrend — CAGR 4.5%, MDD -22.5%, Sharpe 0.47, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 2.8%, MDD -13.4%, exposure 43%).
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=20, mult=4.8 |
4.5% | -22.5% | 0.47 | 0.20 | 1.5x | 33 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=4 |
2.8% | -13.8% | 0.43 | 0.20 | 1.3x | 19 | 21% |
| EMA 크로스오버 fast=32, slow=307 |
2.8% | -13.4% | 0.37 | 0.21 | 1.3x | 9 | 43% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
1.8% | -10.6% | 0.36 | 0.17 | 1.2x | 5 | 9% |
| Donchian 채널 돌파 entryN=11, exitN=71 |
3.2% | -28.1% | 0.31 | 0.11 | 1.3x | 29 | 79% |
| SMA 크로스오버 fast=12, slow=193 |
1.5% | -18.1% | 0.22 | 0.08 | 1.1x | 19 | 43% |
| ROC 모멘텀 n=148, threshold=-0.01 |
1.0% | -28.0% | 0.15 | 0.04 | 1.1x | 57 | 50% |
| ADX / DI 방향성 period=29, threshold=24 |
-0.1% | -14.8% | -0.00 | -0.01 | 1.0x | 12 | 6% |
| MACD fast=16, slow=48, signal=16 |
-0.9% | -30.7% | -0.03 | -0.03 | 0.9x | 94 | 45% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.5% | -47.4% | -0.09 | -0.03 | 0.9x | 77 | 48% |
| Buy and hold | 2.1% | -42.7% | 0.21 | 0.05 | 1.2x | 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) — 20-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)