Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Central Pattana Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Central Pattana Public Co. Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.1%, MDD -45.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.2%, drawdown -79.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -45.1%, Sharpe 0.71, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 34.4%p (CAGR 16.1%, MDD -45.1%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=172 |
16.1% | -45.1% | 0.71 | 0.36 | 53.2x | 53 | 61% |
| Donchian 채널 돌파 entryN=60, exitN=75 |
15.8% | -56.6% | 0.66 | 0.28 | 49.5x | 39 | 66% |
| ADX / DI 방향성 period=35, threshold=24 |
9.8% | -39.7% | 0.62 | 0.25 | 12.0x | 36 | 20% |
| EMA 크로스오버 fast=98, slow=167 |
13.4% | -52.8% | 0.61 | 0.25 | 28.6x | 35 | 66% |
| 볼린저 밴드 돌파 n=52, k=2 |
11.1% | -48.7% | 0.59 | 0.23 | 16.6x | 94 | 34% |
| ROC 모멘텀 n=170, threshold=0.07 |
11.6% | -69.9% | 0.57 | 0.17 | 18.6x | 181 | 51% |
| Supertrend period=11, mult=4.6 |
10.6% | -59.4% | 0.51 | 0.18 | 14.8x | 91 | 58% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=4 |
8.1% | -50.8% | 0.49 | 0.16 | 8.0x | 52 | 26% |
| Parabolic SAR step=0.01, maxStep=0.1 |
6.5% | -60.3% | 0.37 | 0.11 | 5.4x | 268 | 53% |
| MACD fast=18, slow=44, signal=16 |
3.8% | -75.3% | 0.27 | 0.05 | 2.7x | 308 | 49% |
| Buy and hold | 17.2% | -79.5% | 0.62 | 0.22 | 69.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 26-day average falls below the 172-day average