Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Airports of Thailand Public Co Ltd backtest
10 trend-following strategies were compared on the full daily history of Airports of Thailand Public Co Ltd. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -41.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.2%, drawdown -79.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.8%, MDD -44.0%, Sharpe 0.78, 85% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 12.4%, MDD -41.8%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=73 |
18.8% | -44.0% | 0.78 | 0.43 | 48.0x | 47 | 85% |
| SMA 크로스오버 fast=32, slow=127 |
12.4% | -41.8% | 0.64 | 0.30 | 13.8x | 45 | 60% |
| Parabolic SAR step=0.005, maxStep=0.28 |
11.2% | -46.7% | 0.60 | 0.24 | 10.9x | 142 | 56% |
| EMA 크로스오버 fast=37, slow=50 |
11.4% | -59.2% | 0.59 | 0.19 | 11.4x | 69 | 62% |
| Supertrend period=15, mult=2.7 |
10.7% | -38.4% | 0.57 | 0.28 | 9.9x | 160 | 56% |
| ROC 모멘텀 n=105, threshold=0.09 |
8.9% | -57.4% | 0.53 | 0.16 | 6.8x | 183 | 38% |
| 볼린저 밴드 돌파 n=40, k=1.1 |
8.3% | -52.4% | 0.50 | 0.16 | 6.0x | 154 | 45% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=15, mult=1.4 |
8.0% | -60.7% | 0.48 | 0.13 | 5.6x | 162 | 44% |
| ADX / DI 방향성 period=35, threshold=16 |
6.8% | -43.8% | 0.46 | 0.15 | 4.4x | 89 | 27% |
| MACD fast=11, slow=30, signal=17 |
6.5% | -44.7% | 0.41 | 0.15 | 4.1x | 290 | 48% |
| Buy and hold | 12.2% | -79.6% | 0.53 | 0.15 | 13.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 73 days