Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Charoen Pokphand Foods Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Charoen Pokphand Foods Public Co. Ltd.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.5%, MDD -22.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.4%, drawdown -66.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.9%, MDD -24.9%, Sharpe 0.69, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 5.5%, MDD -22.2%, exposure 8%).
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=49, k=3.5 |
7.9% | -24.9% | 0.69 | 0.32 | 7.5x | 25 | 12% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=15, mult=4 |
5.5% | -22.2% | 0.60 | 0.25 | 4.2x | 26 | 8% |
| Donchian 채널 돌파 entryN=98, exitN=29 |
7.1% | -63.0% | 0.51 | 0.11 | 6.2x | 49 | 25% |
| ADX / DI 방향성 period=25, threshold=34 |
4.1% | -23.2% | 0.49 | 0.18 | 2.9x | 24 | 5% |
| ROC 모멘텀 n=103, threshold=0.22 |
5.1% | -43.8% | 0.43 | 0.12 | 3.7x | 102 | 15% |
| SMA 크로스오버 fast=10, slow=204 |
6.6% | -58.5% | 0.42 | 0.11 | 5.4x | 67 | 43% |
| EMA 크로스오버 fast=27, slow=120 |
5.7% | -54.8% | 0.38 | 0.10 | 4.3x | 63 | 42% |
| Supertrend period=10, mult=4.8 |
2.3% | -80.7% | 0.21 | 0.03 | 1.8x | 93 | 49% |
| MACD fast=22, slow=29, signal=13 |
0.5% | -66.8% | 0.13 | 0.01 | 1.1x | 327 | 50% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-0.4% | -79.1% | 0.08 | -0.01 | 0.9x | 523 | 49% |
| Buy and hold | 5.4% | -66.1% | 0.33 | 0.08 | 4.0x | 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 49-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 49-day middle average