Trend-Following Backtester · Guide · backtest 한국어

equity · TH

Charoen Pokphand Foods Public Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of Charoen Pokphand Foods Public Co. Ltd.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.7%, MDD -22.2%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,586 (26.6 years)Costs 0.5%Venue SETMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 5.2%, drawdown -66.1%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.7%, MDD -24.9%, Sharpe 0.68, 12% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 5.7%, MDD -22.2%, 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
볼린저 밴드 돌파
n=49, k=3.5
7.7%-24.9%0.680.317.2x2512%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=15, mult=4
5.7%-22.2%0.610.264.3x258%
Donchian 채널 돌파
entryN=98, exitN=29
6.9%-63.0%0.500.115.9x4925%
ADX / DI 방향성
period=25, threshold=34
4.1%-23.2%0.490.182.9x245%
ROC 모멘텀
n=103, threshold=0.22
5.2%-42.6%0.440.123.8x10015%
SMA 크로스오버
fast=10, slow=204
6.4%-58.1%0.410.115.2x6743%
EMA 크로스오버
fast=27, slow=120
5.5%-54.4%0.370.104.1x6342%
Supertrend
period=10, mult=4.8
2.1%-80.7%0.210.031.8x9349%
MACD
fast=22, slow=29, signal=13
0.5%-66.8%0.130.011.2x32450%
Parabolic SAR
step=0.03, maxStep=0.12
-0.4%-79.1%0.08-0.010.9x52049%
Buy and hold5.2%-66.1%0.320.083.9x1100%
1x 2001 2005 2009 2013 2017 2021 2025 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -33% -50% -66% 2001 2005 2009 2013 2017 2021 2025 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -24.9% (2010-08-20 → 2016-03-16), recovered after 2,096 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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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