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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.1%, MDD -13.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.5%, drawdown -65.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.1%, MDD -13.7%, Sharpe 0.27, 5% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.3%, MDD -35.2%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 2.1%, MDD -13.7%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=17, mult=4 |
2.1% | -13.7% | 0.27 | 0.15 | 1.1x | 3 | 5% |
| ROC 모멘텀 n=149, threshold=0.02 |
3.3% | -35.2% | 0.27 | 0.09 | 1.2x | 47 | 38% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
2.5% | -22.2% | 0.26 | 0.11 | 1.2x | 11 | 15% |
| Supertrend period=27, mult=2.3 |
2.9% | -42.1% | 0.24 | 0.07 | 1.2x | 55 | 51% |
| MACD fast=29, slow=70, signal=15 |
1.9% | -45.8% | 0.20 | 0.04 | 1.1x | 45 | 48% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.9% | -51.9% | 0.20 | 0.04 | 1.1x | 48 | 46% |
| Donchian 채널 돌파 entryN=13, exitN=17 |
1.8% | -52.2% | 0.20 | 0.04 | 1.1x | 43 | 52% |
| SMA 크로스오버 fast=52, slow=142 |
0.9% | -36.7% | 0.15 | 0.03 | 1.1x | 11 | 44% |
| EMA 크로스오버 fast=29, slow=213 |
0.4% | -30.6% | 0.11 | 0.01 | 1.0x | 11 | 36% |
| ADX / DI 방향성 period=9, threshold=13 |
-0.9% | -54.9% | 0.08 | -0.02 | 0.9x | 155 | 48% |
| Buy and hold | -5.5% | -65.7% | 0.04 | -0.08 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 38-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average