Trend-Following Backtester · Guide · backtest 한국어
etf · TH
Talaad Thai Leasehold Property Fund Units backtest
10 trend-following strategies were compared on the full daily history of Talaad Thai Leasehold Property Fund Units. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -7.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.5%, drawdown -67.0%).
Sharpe leader (same as main): Supertrend — CAGR -47.7%, MDD -100.0%, Sharpe 1.34, 53% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.5%, MDD -7.9%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 47.2%p lower than buy and hold, while drawdown improves by -33.0%p (CAGR 0.5%, MDD -7.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=37, mult=4.7 |
-47.7% | -100.0% | 1.34 | -0.48 | 0.0x | 70 | 53% |
| EMA 크로스오버 fast=201, slow=217 |
-36.0% | -100.0% | 1.30 | -0.36 | 0.0x | 32 | 50% |
| Donchian 채널 돌파 entryN=41, exitN=79 |
-34.0% | -99.9% | 1.22 | -0.34 | 0.0x | 38 | 61% |
| SMA 크로스오버 fast=57, slow=75 |
-10.5% | -97.4% | 1.14 | -0.11 | 0.2x | 126 | 39% |
| ADX / DI 방향성 period=34, threshold=63 |
0.5% | -7.9% | 0.11 | 0.06 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=4 |
-0.0% | -8.4% | 0.00 | -0.00 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
-3.3% | -46.1% | -0.34 | -0.07 | 0.6x | 10 | 2% |
| ROC 모멘텀 n=129, threshold=-0.02 |
-99.4% | -100.0% | -0.54 | -0.99 | 0.0x | 536 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-96.5% | -100.0% | -0.90 | -0.96 | 0.0x | 202 | 40% |
| MACD fast=18, slow=33, signal=19 |
-99.2% | -100.0% | -1.11 | -0.99 | 0.0x | 422 | 50% |
| Buy and hold | -0.5% | -67.0% | 1.65 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 37-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)