Trend-Following Backtester · Guide · backtest 한국어
equity · TH
PTT Oil and Retail Business Public Co Limited backtest
10 trend-following strategies were compared on the full daily history of PTT Oil and Retail Business Public Co Limited. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -2.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -70.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.5%, MDD -5.9%, Sharpe 0.33, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 64.1%p (CAGR 0.5%, MDD -2.3%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=23, threshold=0.22 |
1.5% | -5.9% | 0.33 | 0.25 | 1.1x | 8 | 2% |
| ADX / DI 방향성 period=25, threshold=28 |
0.5% | -2.3% | 0.21 | 0.21 | 1.0x | 4 | 0% |
| SMA 크로스오버 fast=72, slow=122 |
1.3% | -24.3% | 0.17 | 0.06 | 1.1x | 10 | 22% |
| MACD fast=6, slow=24, signal=14 |
-4.6% | -56.6% | -0.15 | -0.08 | 0.8x | 90 | 48% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
-0.5% | -6.4% | -0.18 | -0.08 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=78, exitN=78 |
-4.2% | -34.7% | -0.23 | -0.12 | 0.8x | 4 | 23% |
| Supertrend period=16, mult=4.7 |
-7.5% | -40.7% | -0.34 | -0.18 | 0.7x | 14 | 45% |
| Parabolic SAR step=0.035, maxStep=0.3 |
-8.2% | -53.6% | -0.35 | -0.15 | 0.6x | 120 | 45% |
| EMA 크로스오버 fast=32, slow=131 |
-5.5% | -28.3% | -0.43 | -0.19 | 0.7x | 7 | 16% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=2.1 |
-6.0% | -28.8% | -0.53 | -0.21 | 0.7x | 24 | 11% |
| Buy and hold | -14.1% | -70.0% | -0.41 | -0.20 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 23-day return is greater than 22%
- Sell — Sell when the 23-day return drops to 22% or below