Trend-Following Backtester · Guide · backtest 한국어
etf · TH
ThaiDex SET50 ETF backtest
10 trend-following strategies were compared on the full daily history of ThaiDex SET50 ETF. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.2%, MDD -17.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.9%, drawdown -58.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.7%, MDD -33.5%, Sharpe 0.54, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.0%, MDD -39.0%, exposure 68%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 4.2%, MDD -17.1%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=110 |
5.7% | -33.5% | 0.54 | 0.17 | 2.8x | 35 | 58% |
| SMA 크로스오버 fast=23, slow=151 |
5.6% | -40.1% | 0.54 | 0.14 | 2.8x | 31 | 56% |
| Donchian 채널 돌파 entryN=42, exitN=77 |
6.0% | -39.0% | 0.52 | 0.15 | 2.9x | 29 | 68% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=3.6 |
4.2% | -17.1% | 0.52 | 0.25 | 2.2x | 49 | 30% |
| 볼린저 밴드 돌파 n=50, k=3.4 |
1.8% | -10.7% | 0.50 | 0.17 | 1.4x | 7 | 7% |
| ROC 모멘텀 n=121, threshold=-0.03 |
3.9% | -49.1% | 0.37 | 0.08 | 2.0x | 119 | 66% |
| Supertrend period=27, mult=4.6 |
3.0% | -28.8% | 0.32 | 0.10 | 1.7x | 85 | 56% |
| ADX / DI 방향성 period=16, threshold=37 |
1.1% | -14.7% | 0.26 | 0.07 | 1.2x | 20 | 3% |
| MACD fast=18, slow=55, signal=16 |
1.4% | -36.6% | 0.18 | 0.04 | 1.3x | 189 | 50% |
| Parabolic SAR step=0.005, maxStep=0.44 |
0.6% | -43.3% | 0.11 | 0.01 | 1.1x | 144 | 54% |
| Buy and hold | 2.9% | -58.3% | 0.25 | 0.05 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 110-day EMA
- Sell — Sell when the 25-day EMA falls below the 110-day EMA