Trend-Following Backtester · Guide · backtest 한국어

equity · TH

Banpu Public Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of Banpu Public Co. Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.0%, MDD -18.4%).

Data 2016-10-28 ~ 2026-07-31daily bars 2,373 (9.8 years)Costs 0.5%Venue SETMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -8.1%, drawdown -80.0%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.0%, MDD -18.4%, Sharpe 0.45, 8% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 5.0%, MDD -18.4%, exposure 8%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=17, threshold=0.09
5.0%-18.4%0.450.271.6x548%
볼린저 밴드 돌파
n=59, k=3.5
4.6%-18.9%0.390.241.6x69%
Keltner 채널 돌파
emaPeriod=16, atrPeriod=37, mult=3.5
2.1%-19.6%0.250.111.2x84%
ADX / DI 방향성
period=26, threshold=19
2.8%-22.4%0.250.121.3x2817%
Donchian 채널 돌파
entryN=104, exitN=33
1.2%-36.5%0.150.031.1x1216%
Supertrend
period=34, mult=4.5
0.7%-49.1%0.130.011.1x2846%
EMA 크로스오버
fast=75, slow=189
0.8%-27.6%0.130.031.1x724%
SMA 크로스오버
fast=52, slow=127
-0.6%-46.2%0.06-0.010.9x2431%
MACD
fast=17, slow=48, signal=14
-4.3%-63.6%-0.12-0.070.7x12951%
Parabolic SAR
step=0.01, maxStep=0.24
-5.9%-58.5%-0.21-0.100.6x11545%
Buy and hold-8.1%-80.0%-0.15-0.100.4x1100%
1x 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -18.4% (2021-02-16 → 2025-08-04), recovered after 1,704 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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