Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Muangthai Capital Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Muangthai Capital Public Co. Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 8.4%, MDD -40.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -62.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.6%, MDD -18.9%, Sharpe 0.47, 9% exposure.
CAGR reference leader: MACD — CAGR 8.4%, MDD -40.2%, exposure 49%.
Return/drawdown alternative: MACD — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 43.3%p (CAGR 8.4%, MDD -40.2%, exposure 49%).
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=21, k=3 |
4.6% | -18.9% | 0.47 | 0.24 | 1.7x | 22 | 9% |
| MACD fast=10, slow=14, signal=23 |
8.4% | -40.2% | 0.46 | 0.21 | 2.6x | 172 | 49% |
| Donchian 채널 돌파 entryN=82, exitN=75 |
5.7% | -30.1% | 0.37 | 0.19 | 1.9x | 13 | 48% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=11, mult=3 |
2.7% | -13.8% | 0.34 | 0.19 | 1.4x | 12 | 5% |
| ROC 모멘텀 n=9, threshold=0.13 |
2.1% | -24.3% | 0.27 | 0.09 | 1.3x | 74 | 4% |
| Supertrend period=16, mult=2 |
3.2% | -41.3% | 0.25 | 0.08 | 1.4x | 122 | 54% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.0% | -65.2% | 0.21 | 0.03 | 1.3x | 90 | 52% |
| SMA 크로스오버 fast=11, slow=145 |
1.8% | -55.5% | 0.19 | 0.03 | 1.2x | 35 | 50% |
| EMA 크로스오버 fast=53, slow=211 |
1.0% | -58.3% | 0.17 | 0.02 | 1.1x | 14 | 53% |
| ADX / DI 방향성 period=15, threshold=34 |
-0.3% | -25.8% | 0.01 | -0.01 | 1.0x | 24 | 6% |
| Buy and hold | 8.5% | -62.2% | 0.41 | 0.14 | 2.6x | 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 21-day average (3× volatility)
- Sell — Sell when the close falls back to the 21-day middle average