Trend-Following Backtester · Guide · backtest 한국어
equity · TH
SCG Packaging Public Co Ltd backtest
10 trend-following strategies were compared on the full daily history of SCG Packaging Public Co Ltd. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.4%, MDD -15.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.4%, drawdown -84.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.5%, MDD -25.1%, Sharpe 0.70, 21% exposure.
CAGR reference leader: Supertrend — CAGR 13.1%, MDD -50.4%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 4.4%, MDD -15.1%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=95, threshold=0.12 |
10.5% | -25.1% | 0.70 | 0.42 | 1.8x | 29 | 21% |
| SMA 크로스오버 fast=61, slow=248 |
9.4% | -24.9% | 0.62 | 0.38 | 1.7x | 3 | 21% |
| Supertrend period=14, mult=2.8 |
13.1% | -50.4% | 0.62 | 0.26 | 2.0x | 35 | 53% |
| EMA 크로스오버 fast=42, slow=69 |
9.6% | -36.4% | 0.54 | 0.26 | 1.7x | 9 | 40% |
| 볼린저 밴드 돌파 n=13, k=2.7 |
4.4% | -15.1% | 0.52 | 0.29 | 1.3x | 14 | 9% |
| ADX / DI 방향성 period=29, threshold=22 |
5.6% | -15.6% | 0.48 | 0.36 | 1.4x | 13 | 13% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=4 |
5.2% | -20.8% | 0.47 | 0.25 | 1.3x | 7 | 16% |
| Donchian 채널 돌파 entryN=69, exitN=44 |
5.2% | -47.6% | 0.36 | 0.11 | 1.3x | 9 | 31% |
| Parabolic SAR step=0.025, maxStep=0.24 |
2.5% | -54.2% | 0.22 | 0.05 | 1.2x | 120 | 52% |
| MACD fast=11, slow=33, signal=8 |
-6.2% | -61.5% | -0.16 | -0.10 | 0.7x | 98 | 47% |
| Buy and hold | -2.4% | -84.3% | 0.10 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 95-day return is greater than 12%
- Sell — Sell when the 95-day return drops to 12% or below