Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Central Retail Corporation Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of Central Retail Corporation Public Company Limited. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -13.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.8%, drawdown -65.7%).
Sharpe leader (same as main): Supertrend — CAGR 2.8%, MDD -42.1%, Sharpe 0.24, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 0.9%, MDD -13.7%, exposure 3%).
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=27, mult=2.3 |
2.8% | -42.1% | 0.24 | 0.07 | 1.2x | 53 | 50% |
| ROC 모멘텀 n=149, threshold=0.02 |
2.0% | -35.2% | 0.20 | 0.06 | 1.1x | 47 | 37% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.6% | -51.9% | 0.19 | 0.03 | 1.1x | 47 | 46% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
1.3% | -22.2% | 0.17 | 0.06 | 1.1x | 11 | 14% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=17, mult=4 |
0.9% | -13.7% | 0.16 | 0.06 | 1.1x | 3 | 3% |
| MACD fast=29, slow=70, signal=15 |
0.7% | -45.8% | 0.15 | 0.02 | 1.0x | 45 | 48% |
| Donchian 채널 돌파 entryN=13, exitN=17 |
0.6% | -52.2% | 0.14 | 0.01 | 1.0x | 43 | 51% |
| SMA 크로스오버 fast=52, slow=142 |
-0.3% | -36.7% | 0.09 | -0.01 | 1.0x | 11 | 43% |
| EMA 크로스오버 fast=29, slow=213 |
-0.9% | -30.6% | 0.03 | -0.03 | 0.9x | 11 | 35% |
| ADX / DI 방향성 period=9, threshold=13 |
-2.2% | -54.9% | 0.02 | -0.04 | 0.9x | 155 | 47% |
| Buy and hold | -6.8% | -65.7% | 0.00 | -0.10 | 0.6x | 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) — 27-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)