Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Thai Airways International Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Thai Airways International Public Co. Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.6%, MDD -32.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.3%, drawdown -97.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -32.6%, Sharpe 0.44, 3% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 10.4%, MDD -57.8%, exposure 33%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 64.5%p (CAGR 5.6%, MDD -32.6%, exposure 3%).
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=14, threshold=0.24 |
5.6% | -32.6% | 0.44 | 0.17 | 4.3x | 66 | 3% |
| 볼린저 밴드 돌파 n=11, k=2.1 |
10.4% | -57.8% | 0.34 | 0.18 | 13.8x | 242 | 33% |
| Donchian 채널 돌파 entryN=102, exitN=50 |
8.9% | -58.7% | 0.32 | 0.15 | 9.7x | 28 | 35% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=2.4 |
7.5% | -61.0% | 0.29 | 0.12 | 6.9x | 92 | 31% |
| Supertrend period=16, mult=3.1 |
6.5% | -83.5% | 0.29 | 0.08 | 5.4x | 140 | 51% |
| ADX / DI 방향성 period=9, threshold=21 |
5.5% | -80.3% | 0.27 | 0.07 | 4.2x | 414 | 48% |
| EMA 크로스오버 fast=32, slow=112 |
4.1% | -70.0% | 0.23 | 0.06 | 2.9x | 44 | 43% |
| MACD fast=16, slow=36, signal=16 |
3.1% | -81.0% | 0.22 | 0.04 | 2.3x | 228 | 47% |
| Parabolic SAR step=0.05, maxStep=0.06 |
2.9% | -75.4% | 0.22 | 0.04 | 2.1x | 320 | 52% |
| SMA 크로스오버 fast=49, slow=168 |
1.8% | -62.2% | 0.21 | 0.03 | 1.6x | 30 | 29% |
| Buy and hold | -8.3% | -97.1% | 0.08 | -0.09 | 0.1x | 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 14-day return is greater than 24%
- Sell — Sell when the 14-day return drops to 24% or below