Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Delta Electronics (Thailand) Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Delta Electronics (Thailand) Public Co. Ltd.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.7%, MDD -49.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 17.6%, drawdown -78.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.7%, MDD -52.0%, Sharpe 0.73, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 18.7%, MDD -49.1%, exposure 44%).
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=48, k=0.9 |
20.7% | -52.0% | 0.73 | 0.40 | 147.5x | 178 | 47% |
| Donchian 채널 돌파 entryN=31, exitN=16 |
18.7% | -49.1% | 0.69 | 0.38 | 95.8x | 138 | 44% |
| SMA 크로스오버 fast=3, slow=26 |
19.6% | -62.5% | 0.69 | 0.31 | 117.3x | 362 | 53% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=15, mult=1.3 |
18.8% | -53.9% | 0.68 | 0.35 | 97.1x | 152 | 47% |
| Supertrend period=14, mult=4.1 |
18.8% | -57.3% | 0.68 | 0.33 | 97.8x | 124 | 53% |
| ROC 모멘텀 n=95, threshold=-0.06 |
19.8% | -72.1% | 0.66 | 0.27 | 121.0x | 171 | 64% |
| EMA 크로스오버 fast=19, slow=133 |
17.2% | -66.8% | 0.62 | 0.26 | 67.2x | 61 | 56% |
| MACD fast=16, slow=30, signal=13 |
15.8% | -65.4% | 0.60 | 0.24 | 49.4x | 334 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
15.0% | -57.0% | 0.57 | 0.26 | 40.5x | 190 | 52% |
| ADX / DI 방향성 period=19, threshold=13 |
14.6% | -74.0% | 0.56 | 0.20 | 37.0x | 354 | 50% |
| Buy and hold | 17.6% | -78.2% | 0.58 | 0.23 | 74.5x | 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 48-day average (0.9× volatility)
- Sell — Sell when the close falls back to the 48-day middle average