Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Kiatnakin Phatra Bank Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kiatnakin Phatra Bank Public Co. Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.5%, MDD -34.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.0%, drawdown -82.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.5%, MDD -52.3%, Sharpe 0.59, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 5.5%, MDD -34.6%, exposure 14%).
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=84, k=1 |
11.5% | -52.3% | 0.59 | 0.22 | 18.2x | 93 | 44% |
| SMA 크로스오버 fast=3, slow=93 |
11.5% | -54.4% | 0.57 | 0.21 | 18.1x | 129 | 52% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=16, mult=1.9 |
10.4% | -46.2% | 0.56 | 0.22 | 13.7x | 119 | 41% |
| EMA 크로스오버 fast=37, slow=42 |
9.6% | -57.2% | 0.50 | 0.17 | 11.5x | 79 | 52% |
| Donchian 채널 돌파 entryN=33, exitN=50 |
10.0% | -62.0% | 0.50 | 0.16 | 12.5x | 77 | 59% |
| ADX / DI 방향성 period=51, threshold=20 |
5.5% | -34.6% | 0.49 | 0.16 | 4.2x | 31 | 14% |
| ROC 모멘텀 n=77, threshold=0.04 |
7.8% | -50.8% | 0.44 | 0.15 | 7.3x | 275 | 44% |
| Supertrend period=17, mult=4.9 |
6.7% | -57.5% | 0.38 | 0.12 | 5.6x | 87 | 54% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.1% | -75.6% | 0.32 | 0.07 | 3.8x | 366 | 52% |
| MACD fast=28, slow=58, signal=18 |
4.5% | -69.7% | 0.30 | 0.06 | 3.2x | 215 | 52% |
| Buy and hold | 3.0% | -82.9% | 0.26 | 0.04 | 2.2x | 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 84-day average (1× volatility)
- Sell — Sell when the close falls back to the 84-day middle average