Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Global Power Synergy Public Company Ltd backtest
10 trend-following strategies were compared on the full daily history of Global Power Synergy Public Company Ltd. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -26.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.6%, drawdown -75.9%).
Sharpe leader (same as main): Supertrend — CAGR 15.2%, MDD -30.5%, Sharpe 0.72, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 8.8%, MDD -26.6%, exposure 15%).
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=12, mult=3.4 |
15.2% | -30.5% | 0.72 | 0.50 | 4.9x | 49 | 50% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=1.6 |
12.3% | -27.6% | 0.72 | 0.45 | 3.7x | 73 | 27% |
| MACD fast=17, slow=59, signal=5 |
14.0% | -49.0% | 0.67 | 0.29 | 4.4x | 177 | 51% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
8.8% | -26.6% | 0.65 | 0.33 | 2.6x | 12 | 15% |
| Parabolic SAR step=0.02, maxStep=0.08 |
11.6% | -49.1% | 0.57 | 0.24 | 3.4x | 157 | 52% |
| SMA 크로스오버 fast=13, slow=48 |
11.4% | -47.2% | 0.57 | 0.24 | 3.4x | 55 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=50 |
11.7% | -57.3% | 0.54 | 0.20 | 3.5x | 39 | 71% |
| ROC 모멘텀 n=45, threshold=0.07 |
9.7% | -39.8% | 0.54 | 0.24 | 2.8x | 113 | 35% |
| ADX / DI 방향성 period=22, threshold=29 |
6.3% | -34.1% | 0.52 | 0.18 | 2.0x | 26 | 13% |
| EMA 크로스오버 fast=22, slow=31 |
7.2% | -48.8% | 0.41 | 0.15 | 2.2x | 57 | 51% |
| Buy and hold | 7.6% | -75.9% | 0.39 | 0.10 | 2.3x | 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) — 12-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)