Trend-Following Backtester · Guide · backtest 한국어
etf · TH
Khonburi Sugar Power Plant Infrastructure Fund backtest
10 trend-following strategies were compared on the full daily history of Khonburi Sugar Power Plant Infrastructure Fund. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -2.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.2%, drawdown -41.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.8%, MDD -5.2%, Sharpe 0.72, 27% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 0.9%, MDD -2.5%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=213 |
2.8% | -5.2% | 0.72 | 0.53 | 1.2x | 3 | 27% |
| ADX / DI 방향성 period=18, threshold=34 |
0.9% | -2.5% | 0.56 | 0.36 | 1.1x | 2 | 5% |
| Donchian 채널 돌파 entryN=20, exitN=46 |
2.8% | -29.0% | 0.25 | 0.09 | 1.2x | 13 | 64% |
| SMA 크로스오버 fast=10, slow=160 |
2.0% | -29.0% | 0.21 | 0.07 | 1.1x | 11 | 37% |
| ROC 모멘텀 n=159, threshold=0.01 |
1.7% | -29.0% | 0.20 | 0.06 | 1.1x | 19 | 29% |
| Supertrend period=26, mult=3.8 |
0.1% | -29.7% | 0.12 | 0.00 | 1.0x | 14 | 41% |
| Parabolic SAR step=0.045, maxStep=0.1 |
-1.6% | -29.0% | 0.04 | -0.06 | 0.9x | 80 | 49% |
| MACD fast=26, slow=82, signal=21 |
-1.7% | -29.0% | 0.03 | -0.06 | 0.9x | 30 | 50% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=27, mult=4 |
-3.1% | -29.5% | -0.20 | -0.10 | 0.8x | 4 | 13% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
-3.7% | -34.2% | -0.24 | -0.11 | 0.8x | 8 | 19% |
| Buy and hold | -1.2% | -41.5% | 0.08 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 213-day EMA
- Sell — Sell when the 42-day EMA falls below the 213-day EMA