Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Carabao Group Public Company Ltd backtest
10 trend-following strategies were compared on the full daily history of Carabao Group Public Company Ltd. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.6%, MDD -16.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.4%, drawdown -77.8%).
Sharpe leader (same as main): Supertrend — CAGR 15.4%, MDD -35.5%, Sharpe 0.70, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 5.6%, MDD -16.6%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.9 |
15.4% | -35.5% | 0.70 | 0.43 | 5.4x | 41 | 54% |
| Donchian 채널 돌파 entryN=21, exitN=26 |
11.4% | -61.2% | 0.55 | 0.19 | 3.6x | 51 | 56% |
| ADX / DI 방향성 period=15, threshold=24 |
8.6% | -29.9% | 0.53 | 0.29 | 2.6x | 95 | 27% |
| SMA 크로스오버 fast=20, slow=61 |
9.4% | -53.6% | 0.48 | 0.17 | 2.9x | 45 | 53% |
| 볼린저 밴드 돌파 n=33, k=3 |
5.6% | -16.6% | 0.47 | 0.34 | 1.9x | 23 | 14% |
| EMA 크로스오버 fast=18, slow=55 |
9.0% | -59.7% | 0.47 | 0.15 | 2.8x | 47 | 51% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=13, mult=2.4 |
7.8% | -42.0% | 0.46 | 0.18 | 2.4x | 41 | 35% |
| MACD fast=13, slow=23, signal=11 |
8.3% | -47.3% | 0.44 | 0.18 | 2.6x | 182 | 49% |
| ROC 모멘텀 n=45, threshold=-0.03 |
7.2% | -63.3% | 0.40 | 0.11 | 2.3x | 117 | 58% |
| Parabolic SAR step=0.04, maxStep=0.08 |
3.9% | -58.5% | 0.28 | 0.07 | 1.6x | 218 | 50% |
| Buy and hold | 4.4% | -77.8% | 0.31 | 0.06 | 1.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)