Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Com7 Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Com7 Public Co. Ltd.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.9%, MDD -31.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 27.7%, drawdown -61.6%).
Sharpe leader (same as main): Supertrend — CAGR 32.6%, MDD -36.9%, Sharpe 1.17, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 28.9%, MDD -31.6%, exposure 50%).
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=10, mult=2.7 |
32.6% | -36.9% | 1.17 | 0.88 | 22.2x | 67 | 60% |
| 볼린저 밴드 돌파 n=37, k=1.2 |
28.9% | -31.6% | 1.13 | 0.91 | 16.2x | 73 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=1.2 |
29.5% | -35.9% | 1.13 | 0.82 | 17.1x | 63 | 52% |
| Donchian 채널 돌파 entryN=34, exitN=28 |
29.4% | -32.2% | 1.08 | 0.91 | 16.9x | 33 | 61% |
| SMA 크로스오버 fast=19, slow=31 |
28.6% | -57.6% | 1.07 | 0.50 | 15.8x | 75 | 57% |
| EMA 크로스오버 fast=14, slow=42 |
29.4% | -36.7% | 1.07 | 0.80 | 17.0x | 51 | 61% |
| MACD fast=17, slow=44, signal=16 |
26.9% | -44.7% | 1.07 | 0.60 | 13.6x | 105 | 51% |
| ROC 모멘텀 n=25, threshold=-0.03 |
29.6% | -52.1% | 1.04 | 0.57 | 17.2x | 173 | 67% |
| Parabolic SAR step=0.01, maxStep=0.32 |
26.8% | -51.9% | 1.02 | 0.52 | 13.6x | 125 | 56% |
| ADX / DI 방향성 period=21, threshold=6 |
18.8% | -57.2% | 0.79 | 0.33 | 6.6x | 157 | 56% |
| Buy and hold | 27.7% | -61.6% | 0.84 | 0.45 | 14.6x | 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) — 10-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)