Trend-Following Backtester · Guide · backtest 한국어

equity · TH

True Corporation Public Company Limited backtest

10 trend-following strategies were compared on the full daily history of True Corporation Public Company Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -50.1%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,586 (26.6 years)Costs 0.5%Venue SETMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -3.1%, drawdown -98.4%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -58.0%, Sharpe 0.43, 16% exposure.

CAGR reference leader: Supertrend — CAGR 8.2%, MDD -59.4%, exposure 45%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 7.5%, MDD -50.1%, exposure 29%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=26, k=3
8.1%-58.0%0.430.148.0x8016%
Supertrend
period=29, mult=2
8.2%-59.4%0.390.148.2x28745%
Donchian 채널 돌파
entryN=75, exitN=30
7.5%-50.1%0.380.156.8x5629%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=26, mult=2.5
7.3%-61.7%0.380.126.5x9725%
SMA 크로스오버
fast=12, slow=166
7.4%-62.8%0.370.126.6x6144%
EMA 크로스오버
fast=50, slow=157
6.8%-62.1%0.360.115.7x3145%
ROC 모멘텀
n=98, threshold=-0.07
6.1%-73.7%0.340.084.9x23756%
Parabolic SAR
step=0.01, maxStep=0.32
4.8%-65.7%0.300.073.5x28348%
MACD
fast=18, slow=66, signal=19
4.4%-74.7%0.300.063.1x25152%
ADX / DI 방향성
period=22, threshold=11
2.2%-69.9%0.240.031.8x35746%
Buy and hold-3.1%-98.4%0.19-0.030.4x1100%
0.1 1x 10x 2001 2005 2009 2013 2017 2021 2025 Supertrend볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -25% -49% -74% -98% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -58.0% (2001-01-25 → 2004-12-14), recovered after 3,070 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next