Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Asset World Corporation Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of Asset World Corporation Public Company Limited. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.4%, MDD -14.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.4%, drawdown -76.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -17.8%, Sharpe 0.46, 9% exposure.
CAGR reference leader: Supertrend — CAGR 8.1%, MDD -35.2%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 2.4%, MDD -14.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=23 |
5.5% | -17.8% | 0.46 | 0.31 | 1.4x | 10 | 9% |
| Supertrend period=21, mult=3 |
8.1% | -35.2% | 0.44 | 0.23 | 1.7x | 35 | 50% |
| Donchian 채널 돌파 entryN=55, exitN=67 |
6.8% | -38.8% | 0.41 | 0.17 | 1.6x | 9 | 45% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
2.4% | -14.6% | 0.33 | 0.17 | 1.2x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=3.6 |
3.6% | -23.9% | 0.31 | 0.15 | 1.3x | 9 | 16% |
| ROC 모멘텀 n=152, threshold=0.1 |
3.9% | -30.2% | 0.31 | 0.13 | 1.3x | 19 | 25% |
| EMA 크로스오버 fast=9, slow=169 |
2.1% | -37.5% | 0.21 | 0.06 | 1.2x | 15 | 36% |
| MACD fast=10, slow=38, signal=6 |
1.7% | -54.5% | 0.20 | 0.03 | 1.1x | 130 | 49% |
| SMA 크로스오버 fast=33, slow=170 |
1.4% | -35.4% | 0.17 | 0.04 | 1.1x | 9 | 38% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-1.3% | -61.6% | 0.08 | -0.02 | 0.9x | 161 | 50% |
| Buy and hold | -9.4% | -76.5% | -0.05 | -0.12 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)