Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Bangchak Corporation Public Company Ltd backtest
10 trend-following strategies were compared on the full daily history of Bangchak Corporation Public Company Ltd. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.2%, MDD -36.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.4%, drawdown -96.2%).
Sharpe leader (same as main): MACD — CAGR 10.8%, MDD -60.3%, Sharpe 0.48, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 7.2%, MDD -36.9%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=44, signal=22 |
10.8% | -60.3% | 0.48 | 0.18 | 26.7x | 303 | 49% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=3.3 |
7.2% | -36.9% | 0.43 | 0.19 | 9.2x | 69 | 11% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
6.3% | -47.3% | 0.41 | 0.13 | 7.1x | 46 | 9% |
| ADX / DI 방향성 period=17, threshold=29 |
6.7% | -46.8% | 0.40 | 0.14 | 8.1x | 135 | 18% |
| Supertrend period=22, mult=4.2 |
7.3% | -62.1% | 0.37 | 0.12 | 9.6x | 119 | 44% |
| EMA 크로스오버 fast=46, slow=224 |
7.0% | -55.2% | 0.36 | 0.13 | 8.6x | 27 | 48% |
| Parabolic SAR step=0.015, maxStep=0.28 |
6.5% | -59.5% | 0.36 | 0.11 | 7.6x | 447 | 48% |
| Donchian 채널 돌파 entryN=107, exitN=25 |
5.2% | -50.3% | 0.34 | 0.10 | 5.0x | 55 | 18% |
| ROC 모멘텀 n=148, threshold=-0.04 |
5.8% | -59.4% | 0.32 | 0.10 | 6.0x | 245 | 53% |
| SMA 크로스오버 fast=21, slow=254 |
5.2% | -54.5% | 0.31 | 0.10 | 5.1x | 47 | 47% |
| Buy and hold | 0.4% | -96.2% | 0.23 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/44) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line