Trend-Following Backtester · Guide · backtest 한국어
equity · TH
CP ALL Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of CP ALL Public Company Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.7%, MDD -36.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -54.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.7%, MDD -36.2%, Sharpe 0.71, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 18.3%p (CAGR 12.7%, MDD -36.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=42, exitN=30 |
12.7% | -36.2% | 0.71 | 0.35 | 15.4x | 63 | 53% |
| Supertrend period=10, mult=4.4 |
11.1% | -40.6% | 0.60 | 0.27 | 11.0x | 69 | 58% |
| SMA 크로스오버 fast=16, slow=48 |
10.5% | -43.6% | 0.60 | 0.24 | 9.8x | 119 | 55% |
| EMA 크로스오버 fast=22, slow=23 |
8.9% | -46.9% | 0.52 | 0.19 | 7.1x | 124 | 56% |
| MACD fast=40, slow=74, signal=33 |
8.2% | -39.6% | 0.51 | 0.21 | 6.1x | 116 | 49% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
7.5% | -35.7% | 0.50 | 0.21 | 5.2x | 114 | 40% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=18, mult=2.1 |
7.3% | -47.1% | 0.48 | 0.16 | 5.1x | 78 | 47% |
| ADX / DI 방향성 period=39, threshold=15 |
5.2% | -44.3% | 0.40 | 0.12 | 3.2x | 102 | 31% |
| ROC 모멘텀 n=77, threshold=-0.04 |
4.0% | -65.9% | 0.29 | 0.06 | 2.5x | 231 | 69% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.8% | -56.3% | 0.19 | 0.03 | 1.5x | 158 | 52% |
| Buy and hold | 13.0% | -54.4% | 0.57 | 0.24 | 16.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 42 days
- Sell — Sell when price breaks below the lowest low of the last 30 days