Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Thai Oil Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Thai Oil Public Co. Ltd.. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -18.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.7%, drawdown -81.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.7%, MDD -53.3%, Sharpe 0.48, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 3.9%, MDD -18.2%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
8.7% | -53.3% | 0.48 | 0.16 | 6.2x | 244 | 51% |
| Supertrend period=25, mult=4.4 |
8.1% | -57.3% | 0.45 | 0.14 | 5.4x | 76 | 51% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
3.9% | -18.2% | 0.44 | 0.21 | 2.3x | 20 | 9% |
| MACD fast=18, slow=52, signal=20 |
7.6% | -49.5% | 0.43 | 0.15 | 4.9x | 196 | 50% |
| Donchian 채널 돌파 entryN=14, exitN=77 |
8.1% | -54.4% | 0.42 | 0.15 | 5.5x | 61 | 80% |
| SMA 크로스오버 fast=44, slow=71 |
6.6% | -45.6% | 0.39 | 0.15 | 4.1x | 79 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=2.7 |
3.5% | -48.3% | 0.28 | 0.07 | 2.1x | 71 | 29% |
| EMA 크로스오버 fast=45, slow=61 |
3.7% | -66.0% | 0.28 | 0.06 | 2.2x | 59 | 52% |
| ADX / DI 방향성 period=31, threshold=35 |
0.7% | -15.4% | 0.18 | 0.04 | 1.2x | 4 | 1% |
| ROC 모멘텀 n=60, threshold=0.01 |
0.3% | -67.4% | 0.13 | 0.00 | 1.1x | 261 | 49% |
| Buy and hold | 1.7% | -81.4% | 0.23 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots