Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Krung Thai Bank Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Krung Thai Bank Public Co., Ltd.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.0%, MDD -51.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.3%, drawdown -83.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -57.9%, Sharpe 0.43, 43% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -51.9%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 4.0%, MDD -51.5%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=77, exitN=49 |
6.7% | -57.9% | 0.43 | 0.12 | 5.6x | 55 | 43% |
| SMA 크로스오버 fast=42, slow=93 |
7.1% | -51.9% | 0.42 | 0.14 | 6.2x | 69 | 55% |
| EMA 크로스오버 fast=33, slow=57 |
6.2% | -61.4% | 0.38 | 0.10 | 4.9x | 73 | 53% |
| Supertrend period=15, mult=3.2 |
5.5% | -75.0% | 0.35 | 0.07 | 4.2x | 135 | 54% |
| MACD fast=19, slow=66, signal=19 |
4.8% | -64.9% | 0.32 | 0.07 | 3.5x | 250 | 52% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=2.9 |
4.0% | -51.5% | 0.32 | 0.08 | 2.8x | 87 | 28% |
| 볼린저 밴드 돌파 n=32, k=1.9 |
4.1% | -52.5% | 0.31 | 0.08 | 2.9x | 168 | 34% |
| ROC 모멘텀 n=130, threshold=0.01 |
3.7% | -64.9% | 0.28 | 0.06 | 2.6x | 179 | 54% |
| ADX / DI 방향성 period=19, threshold=29 |
2.5% | -52.1% | 0.26 | 0.05 | 2.0x | 75 | 13% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.0% | -62.0% | 0.25 | 0.05 | 2.2x | 284 | 53% |
| Buy and hold | 3.3% | -83.9% | 0.26 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 77 days
- Sell — Sell when price breaks below the lowest low of the last 49 days