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 2.5%, MDD -14.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.0%, drawdown -76.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.6%, MDD -17.8%, Sharpe 0.46, 9% exposure.
CAGR reference leader: Supertrend — CAGR 7.6%, MDD -35.2%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 2.5%, MDD -14.6%, exposure 4%).
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 |
5.6% | -17.8% | 0.46 | 0.31 | 1.4x | 10 | 9% |
| Supertrend period=21, mult=3 |
7.6% | -35.2% | 0.42 | 0.22 | 1.6x | 35 | 49% |
| Donchian 채널 돌파 entryN=55, exitN=67 |
6.2% | -38.8% | 0.39 | 0.16 | 1.5x | 9 | 44% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
2.5% | -14.6% | 0.33 | 0.17 | 1.2x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=3.6 |
3.1% | -23.9% | 0.28 | 0.13 | 1.2x | 9 | 15% |
| ROC 모멘텀 n=152, threshold=0.1 |
3.3% | -30.2% | 0.28 | 0.11 | 1.2x | 19 | 24% |
| MACD fast=10, slow=38, signal=6 |
1.7% | -54.5% | 0.20 | 0.03 | 1.1x | 129 | 49% |
| EMA 크로스오버 fast=9, slow=169 |
1.5% | -37.5% | 0.18 | 0.04 | 1.1x | 15 | 35% |
| SMA 크로스오버 fast=33, slow=170 |
0.8% | -35.4% | 0.14 | 0.02 | 1.1x | 9 | 37% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-0.5% | -61.6% | 0.12 | -0.01 | 1.0x | 157 | 50% |
| Buy and hold | -10.0% | -76.5% | -0.07 | -0.13 | 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)