Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Bank of Ayudhya Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bank of Ayudhya Public Co., Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -48.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.7%, drawdown -80.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -48.7%, Sharpe 0.45, 45% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.9%, MDD -65.5%, exposure 78%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 8.6%, MDD -48.7%, exposure 45%).
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=41, exitN=30 |
8.6% | -48.7% | 0.45 | 0.18 | 8.9x | 83 | 45% |
| ROC 모멘텀 n=166, threshold=-0.13 |
8.9% | -65.5% | 0.44 | 0.14 | 9.5x | 91 | 78% |
| SMA 크로스오버 fast=49, slow=219 |
7.8% | -57.6% | 0.42 | 0.14 | 7.4x | 31 | 55% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=22, mult=1 |
6.8% | -57.9% | 0.39 | 0.12 | 5.8x | 165 | 46% |
| EMA 크로스오버 fast=33, slow=190 |
6.5% | -62.9% | 0.37 | 0.10 | 5.4x | 37 | 57% |
| ADX / DI 방향성 period=26, threshold=9 |
6.3% | -61.6% | 0.36 | 0.10 | 5.1x | 291 | 56% |
| Supertrend period=16, mult=3.7 |
4.5% | -53.1% | 0.30 | 0.09 | 3.2x | 128 | 54% |
| 볼린저 밴드 돌파 n=31, k=1.5 |
3.9% | -57.0% | 0.28 | 0.07 | 2.8x | 218 | 38% |
| Parabolic SAR step=0.025, maxStep=0.14 |
3.9% | -68.1% | 0.28 | 0.06 | 2.7x | 486 | 49% |
| MACD fast=19, slow=59, signal=18 |
-2.1% | -69.8% | 0.04 | -0.03 | 0.6x | 290 | 51% |
| Buy and hold | 3.7% | -80.3% | 0.28 | 0.05 | 2.6x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 30 days