Trend-Following Backtester · Guide · backtest 한국어
equity · TH
PTT Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of PTT Public Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.1%, MDD -41.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.1%, drawdown -68.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -41.9%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 11.1%, MDD -41.9%, exposure 52%).
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=52, slow=177 |
11.1% | -41.9% | 0.63 | 0.26 | 13.4x | 37 | 52% |
| Donchian 채널 돌파 entryN=112, exitN=50 |
9.4% | -36.9% | 0.60 | 0.25 | 9.1x | 33 | 39% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=27, mult=3.6 |
6.4% | -33.7% | 0.49 | 0.19 | 4.7x | 59 | 25% |
| EMA 크로스오버 fast=56, slow=136 |
8.2% | -52.6% | 0.48 | 0.16 | 6.9x | 43 | 58% |
| 볼린저 밴드 돌파 n=67, k=3.4 |
5.2% | -44.2% | 0.47 | 0.12 | 3.5x | 20 | 13% |
| ADX / DI 방향성 period=33, threshold=39 |
3.1% | -17.3% | 0.45 | 0.18 | 2.1x | 4 | 2% |
| ROC 모멘텀 n=114, threshold=0.11 |
5.1% | -50.7% | 0.38 | 0.10 | 3.4x | 202 | 31% |
| Supertrend period=12, mult=4.4 |
5.6% | -50.8% | 0.38 | 0.11 | 3.9x | 99 | 55% |
| Parabolic SAR step=0.005, maxStep=0.06 |
5.2% | -53.8% | 0.36 | 0.10 | 3.5x | 161 | 55% |
| MACD fast=13, slow=57, signal=16 |
2.8% | -72.4% | 0.24 | 0.04 | 2.0x | 295 | 50% |
| Buy and hold | 10.1% | -68.9% | 0.48 | 0.15 | 10.7x | 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 52-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 52-day average falls below the 177-day average