Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Thanachart Capital Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Thanachart Capital Public Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.2%, MDD -57.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.0%, drawdown -74.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -58.5%, Sharpe 0.43, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.2%, MDD -57.6%, exposure 74%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 8.2%, MDD -57.6%, exposure 74%).
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=32, slow=123 |
7.9% | -58.5% | 0.43 | 0.14 | 7.6x | 69 | 57% |
| Donchian 채널 돌파 entryN=26, exitN=69 |
8.2% | -57.6% | 0.43 | 0.14 | 8.1x | 65 | 74% |
| EMA 크로스오버 fast=45, slow=72 |
5.3% | -56.5% | 0.33 | 0.09 | 3.9x | 75 | 58% |
| 볼린저 밴드 돌파 n=24, k=1.5 |
4.3% | -59.2% | 0.31 | 0.07 | 3.0x | 260 | 38% |
| Parabolic SAR step=0.01, maxStep=0.26 |
4.3% | -76.4% | 0.30 | 0.06 | 3.1x | 287 | 51% |
| ROC 모멘텀 n=81, threshold=-0.04 |
4.3% | -66.6% | 0.29 | 0.06 | 3.0x | 289 | 67% |
| MACD fast=10, slow=53, signal=12 |
3.9% | -70.5% | 0.28 | 0.06 | 2.8x | 394 | 51% |
| ADX / DI 방향성 period=12, threshold=12 |
3.8% | -68.3% | 0.27 | 0.06 | 2.7x | 507 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=1.1 |
3.4% | -55.8% | 0.26 | 0.06 | 2.4x | 207 | 45% |
| Supertrend period=12, mult=4 |
3.3% | -54.9% | 0.26 | 0.06 | 2.4x | 111 | 53% |
| Buy and hold | 6.0% | -74.7% | 0.34 | 0.08 | 4.7x | 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 32-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 32-day average falls below the 123-day average