Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Star Petroleum Refining Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Star Petroleum Refining Public Co. Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -17.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.7%, drawdown -77.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.6%, MDD -26.7%, Sharpe 0.63, 40% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.2%, MDD -49.4%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 50.9%p (CAGR 7.4%, MDD -17.6%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=68, slow=248 |
11.6% | -26.7% | 0.63 | 0.44 | 3.3x | 9 | 40% |
| 볼린저 밴드 돌파 n=36, k=3 |
7.4% | -17.6% | 0.61 | 0.42 | 2.2x | 11 | 9% |
| ROC 모멘텀 n=136, threshold=-0.04 |
12.2% | -49.4% | 0.57 | 0.25 | 3.4x | 67 | 50% |
| EMA 크로스오버 fast=6, slow=173 |
10.3% | -38.0% | 0.54 | 0.27 | 2.9x | 25 | 43% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=3 |
3.8% | -14.0% | 0.49 | 0.27 | 1.5x | 7 | 3% |
| MACD fast=13, slow=35, signal=16 |
7.4% | -56.8% | 0.41 | 0.13 | 2.1x | 133 | 49% |
| ADX / DI 방향성 period=24, threshold=20 |
5.0% | -35.9% | 0.36 | 0.14 | 1.7x | 47 | 21% |
| Supertrend period=21, mult=3.3 |
5.8% | -56.4% | 0.35 | 0.10 | 1.8x | 53 | 52% |
| Donchian 채널 돌파 entryN=68, exitN=27 |
2.8% | -41.6% | 0.24 | 0.07 | 1.3x | 23 | 27% |
| Parabolic SAR step=0.04, maxStep=0.3 |
-1.5% | -67.6% | 0.08 | -0.02 | 0.9x | 279 | 52% |
| Buy and hold | 4.7% | -77.6% | 0.32 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 68-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 68-day average falls below the 248-day average