Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Advanced Info Service Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Advanced Info Service Public Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -39.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -57.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -39.9%, Sharpe 0.51, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 8.6%, MDD -39.9%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=209 |
8.6% | -39.9% | 0.51 | 0.22 | 9.1x | 33 | 57% |
| EMA 크로스오버 fast=57, slow=116 |
7.7% | -44.7% | 0.46 | 0.17 | 7.3x | 37 | 58% |
| Donchian 채널 돌파 entryN=84, exitN=44 |
6.5% | -41.1% | 0.42 | 0.16 | 5.4x | 41 | 45% |
| Supertrend period=14, mult=5 |
2.9% | -55.2% | 0.24 | 0.05 | 2.2x | 77 | 56% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
2.3% | -47.2% | 0.23 | 0.05 | 1.9x | 76 | 31% |
| ADX / DI 방향성 period=34, threshold=23 |
1.6% | -28.0% | 0.22 | 0.06 | 1.5x | 24 | 9% |
| ROC 모멘텀 n=148, threshold=-0.02 |
1.9% | -71.3% | 0.20 | 0.03 | 1.6x | 219 | 62% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=4 |
0.7% | -60.1% | 0.12 | 0.01 | 1.2x | 60 | 23% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.7% | -67.0% | 0.07 | -0.01 | 0.8x | 187 | 54% |
| MACD fast=19, slow=50, signal=18 |
-4.2% | -83.5% | -0.10 | -0.05 | 0.3x | 291 | 50% |
| Buy and hold | 8.5% | -57.7% | 0.42 | 0.15 | 8.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 55-day average falls below the 209-day average