Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Cal-Comp Electronics (Thailand) Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cal-Comp Electronics (Thailand) Public Co., Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.9%, MDD -44.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.2%, drawdown -85.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.9%, MDD -44.4%, Sharpe 0.56, 32% exposure.
CAGR reference leader: MACD — CAGR 12.9%, MDD -49.2%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 11.9%, MDD -44.4%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=1.8 |
11.9% | -44.4% | 0.56 | 0.27 | 17.6x | 170 | 32% |
| MACD fast=47, slow=50, signal=25 |
12.9% | -49.2% | 0.56 | 0.26 | 22.4x | 146 | 49% |
| Supertrend period=10, mult=2.9 |
9.8% | -61.8% | 0.47 | 0.16 | 10.8x | 178 | 48% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=1.5 |
8.7% | -45.1% | 0.45 | 0.19 | 8.5x | 208 | 30% |
| ADX / DI 방향성 period=24, threshold=21 |
8.3% | -52.8% | 0.43 | 0.16 | 7.7x | 116 | 31% |
| Donchian 채널 돌파 entryN=13, exitN=15 |
7.8% | -77.2% | 0.40 | 0.10 | 6.8x | 202 | 50% |
| Parabolic SAR step=0.02, maxStep=0.2 |
7.2% | -54.3% | 0.39 | 0.13 | 5.9x | 400 | 47% |
| SMA 크로스오버 fast=59, slow=71 |
7.1% | -68.6% | 0.38 | 0.10 | 5.8x | 123 | 50% |
| EMA 크로스오버 fast=31, slow=34 |
5.2% | -62.5% | 0.32 | 0.08 | 3.7x | 121 | 49% |
| ROC 모멘텀 n=44, threshold=-0.08 |
5.0% | -77.3% | 0.31 | 0.06 | 3.5x | 316 | 75% |
| Buy and hold | 6.2% | -85.9% | 0.35 | 0.07 | 4.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 29-day middle average