Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Siam Cement Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Siam Cement Public Co. Ltd.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.5%, MDD -29.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.7%, drawdown -76.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.5%, MDD -29.3%, Sharpe 0.60, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.5%, MDD -45.5%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 7.5%, MDD -29.3%, exposure 20%).
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=54, k=2.7 |
7.5% | -29.3% | 0.60 | 0.26 | 6.9x | 46 | 20% |
| EMA 크로스오버 fast=51, slow=98 |
9.5% | -40.5% | 0.56 | 0.23 | 11.2x | 41 | 51% |
| SMA 크로스오버 fast=10, slow=216 |
9.5% | -45.5% | 0.56 | 0.21 | 11.3x | 55 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3.9 |
7.0% | -41.0% | 0.53 | 0.17 | 6.0x | 53 | 24% |
| Donchian 채널 돌파 entryN=81, exitN=15 |
6.0% | -38.9% | 0.48 | 0.15 | 4.7x | 73 | 24% |
| Supertrend period=22, mult=3.3 |
7.4% | -57.3% | 0.46 | 0.13 | 6.6x | 151 | 49% |
| ROC 모멘텀 n=141, threshold=0.01 |
7.2% | -58.7% | 0.45 | 0.12 | 6.3x | 189 | 51% |
| ADX / DI 방향성 period=12, threshold=36 |
3.8% | -28.6% | 0.39 | 0.13 | 2.7x | 114 | 11% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.3% | -69.2% | 0.27 | 0.05 | 2.4x | 193 | 50% |
| MACD fast=18, slow=39, signal=14 |
-1.5% | -86.9% | 0.02 | -0.02 | 0.7x | 342 | 49% |
| Buy and hold | 4.7% | -76.8% | 0.31 | 0.06 | 3.4x | 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 54-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 54-day middle average