Trend-Following Backtester · Guide · backtest 한국어
equity · TH
PTT Exploration & Production Plc backtest
10 trend-following strategies were compared on the full daily history of PTT Exploration & Production Plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -52.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -79.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -52.7%, Sharpe 0.32, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 7.8%, MDD -52.7%, exposure 67%).
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=30, exitN=46 |
7.8% | -52.7% | 0.32 | 0.15 | 7.4x | 75 | 67% |
| Parabolic SAR step=0.01, maxStep=0.14 |
7.0% | -68.8% | 0.29 | 0.10 | 6.0x | 275 | 56% |
| EMA 크로스오버 fast=38, slow=57 |
5.0% | -67.0% | 0.25 | 0.07 | 3.7x | 79 | 59% |
| Supertrend period=26, mult=4.1 |
3.8% | -64.4% | 0.22 | 0.06 | 2.7x | 119 | 54% |
| SMA 크로스오버 fast=49, slow=201 |
2.4% | -49.4% | 0.22 | 0.05 | 1.9x | 45 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=3.6 |
3.8% | -48.1% | 0.20 | 0.08 | 2.7x | 64 | 29% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
1.2% | -25.6% | 0.20 | 0.05 | 1.4x | 26 | 6% |
| ROC 모멘텀 n=88, threshold=-0.01 |
2.5% | -58.0% | 0.19 | 0.04 | 1.9x | 280 | 61% |
| MACD fast=14, slow=28, signal=17 |
1.3% | -63.1% | 0.17 | 0.02 | 1.4x | 321 | 46% |
| ADX / DI 방향성 period=10, threshold=14 |
-0.0% | -92.6% | 0.13 | -0.00 | 1.0x | 587 | 52% |
| Buy and hold | 7.4% | -79.0% | 0.33 | 0.09 | 6.6x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 46 days