Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Cal-Comp Electronics (Thailand) Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cal-Comp Electronics (Thailand) Public Co., Ltd.. 8 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 11.8%, MDD -44.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.7%, drawdown -85.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -44.4%, Sharpe 0.56, 31% exposure.
CAGR reference leader: MACD — CAGR 12.9%, MDD -49.2%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 11.8%, MDD -44.4%, exposure 31%).
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=29, k=1.8 |
11.8% | -44.4% | 0.56 | 0.27 | 17.6x | 170 | 31% |
| MACD fast=47, slow=50, signal=25 |
12.9% | -49.2% | 0.55 | 0.26 | 22.4x | 146 | 49% |
| Supertrend period=10, mult=2.9 |
9.8% | -61.8% | 0.47 | 0.16 | 11.1x | 179 | 48% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=1.5 |
8.8% | -45.1% | 0.46 | 0.20 | 8.7x | 209 | 30% |
| ADX / DI 방향성 period=24, threshold=21 |
8.3% | -52.8% | 0.43 | 0.16 | 7.7x | 116 | 31% |
| Donchian 채널 돌파 entryN=13, exitN=15 |
8.1% | -77.2% | 0.41 | 0.10 | 7.4x | 203 | 50% |
| SMA 크로스오버 fast=59, slow=71 |
7.5% | -68.6% | 0.39 | 0.11 | 6.4x | 124 | 50% |
| Parabolic SAR step=0.02, maxStep=0.2 |
7.3% | -54.3% | 0.39 | 0.13 | 6.0x | 401 | 47% |
| EMA 크로스오버 fast=31, slow=34 |
5.8% | -62.5% | 0.34 | 0.09 | 4.2x | 121 | 49% |
| ROC 모멘텀 n=44, threshold=-0.08 |
5.0% | -77.3% | 0.31 | 0.06 | 3.5x | 321 | 75% |
| Buy and hold | 6.7% | -85.9% | 0.36 | 0.08 | 5.3x | 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 29-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 29-day middle average