Trend-Following Backtester · Guide · backtest 한국어
etf · TH
North Bangkok Power Plant Block 1 Infrastructure Fund backtest
10 trend-following strategies were compared on the full daily history of North Bangkok Power Plant Block 1 Infrastructure Fund. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -8.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.7%, drawdown -61.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -8.2%, Sharpe 0.33, 22% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 1.7%, MDD -8.2%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=21 |
1.7% | -8.2% | 0.33 | 0.21 | 1.2x | 24 | 22% |
| SMA 크로스오버 fast=55, slow=158 |
1.3% | -24.8% | 0.16 | 0.05 | 1.1x | 15 | 49% |
| EMA 크로스오버 fast=65, slow=164 |
0.6% | -24.8% | 0.12 | 0.03 | 1.1x | 11 | 43% |
| ROC 모멘텀 n=127, threshold=-0.05 |
-0.3% | -34.8% | 0.06 | -0.01 | 1.0x | 33 | 74% |
| Supertrend period=27, mult=4.3 |
-0.5% | -30.3% | 0.04 | -0.02 | 0.9x | 20 | 54% |
| Donchian 채널 돌파 entryN=35, exitN=58 |
-2.0% | -41.3% | -0.06 | -0.05 | 0.8x | 33 | 61% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-2.7% | -35.3% | -0.11 | -0.08 | 0.7x | 100 | 46% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=24, mult=3.8 |
-1.7% | -27.6% | -0.16 | -0.06 | 0.8x | 6 | 6% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-2.3% | -30.9% | -0.25 | -0.08 | 0.8x | 10 | 7% |
| MACD fast=19, slow=64, signal=21 |
-6.4% | -57.1% | -0.37 | -0.11 | 0.5x | 103 | 53% |
| Buy and hold | -4.7% | -61.2% | -0.18 | -0.08 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)