Trend-Following Backtester · Guide · backtest 한국어
equity · TH
KrungThai Card Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of KrungThai Card Public Co. Ltd.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.9%, MDD -27.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 14.4%, drawdown -85.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 26.0%, MDD -29.6%, Sharpe 1.07, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 21.9%, MDD -27.7%, exposure 27%).
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=61, k=2.3 |
26.0% | -29.6% | 1.07 | 0.88 | 247.4x | 47 | 32% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=3.7 |
21.9% | -27.7% | 0.97 | 0.79 | 112.1x | 47 | 27% |
| Donchian 채널 돌파 entryN=69, exitN=41 |
23.6% | -38.0% | 0.94 | 0.62 | 156.9x | 39 | 43% |
| SMA 크로스오버 fast=39, slow=60 |
23.8% | -50.0% | 0.90 | 0.48 | 163.5x | 97 | 50% |
| ADX / DI 방향성 period=22, threshold=14 |
22.9% | -46.7% | 0.90 | 0.49 | 135.6x | 213 | 42% |
| ROC 모멘텀 n=65, threshold=0.06 |
21.7% | -40.1% | 0.87 | 0.54 | 107.7x | 193 | 39% |
| EMA 크로스오버 fast=36, slow=61 |
20.2% | -40.6% | 0.78 | 0.50 | 81.1x | 53 | 50% |
| MACD fast=15, slow=59, signal=16 |
17.3% | -60.5% | 0.72 | 0.29 | 45.3x | 244 | 50% |
| Parabolic SAR step=0.015, maxStep=0.34 |
14.7% | -57.0% | 0.64 | 0.26 | 26.5x | 336 | 49% |
| Supertrend period=10, mult=2.8 |
14.1% | -72.3% | 0.61 | 0.19 | 23.1x | 174 | 53% |
| Buy and hold | 14.4% | -85.9% | 0.54 | 0.17 | 24.9x | 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 61-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 61-day middle average