Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Ratch Group Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ratch Group Public Co. Ltd.. 2 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 5.1%, MDD -45.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -69.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -33.4%, Sharpe 0.38, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.1%, MDD -45.4%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 36.3%p (CAGR 5.1%, MDD -45.4%, exposure 56%).
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=62, k=3.2 |
3.6% | -33.4% | 0.38 | 0.11 | 2.5x | 29 | 17% |
| Donchian 채널 돌파 entryN=83, exitN=98 |
5.1% | -45.4% | 0.38 | 0.11 | 3.6x | 33 | 56% |
| ADX / DI 방향성 period=26, threshold=21 |
4.0% | -46.8% | 0.38 | 0.09 | 2.7x | 81 | 23% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=6, mult=3.7 |
3.7% | -49.2% | 0.38 | 0.08 | 2.5x | 37 | 20% |
| SMA 크로스오버 fast=29, slow=76 |
4.8% | -53.4% | 0.37 | 0.09 | 3.3x | 89 | 49% |
| Supertrend period=11, mult=4.3 |
3.8% | -54.0% | 0.31 | 0.07 | 2.6x | 69 | 50% |
| EMA 크로스오버 fast=45, slow=79 |
3.3% | -50.7% | 0.29 | 0.07 | 2.3x | 63 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.7% | -60.1% | 0.18 | 0.03 | 1.5x | 159 | 52% |
| ROC 모멘텀 n=105, threshold=0.14 |
1.2% | -48.2% | 0.16 | 0.02 | 1.3x | 131 | 17% |
| MACD fast=50, slow=92, signal=27 |
1.2% | -60.8% | 0.15 | 0.02 | 1.3x | 145 | 51% |
| Buy and hold | 4.3% | -69.7% | 0.30 | 0.06 | 3.0x | 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 62-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 62-day middle average