Trend-Following Backtester · Guide · backtest 한국어
equity · TH
PTT Global Chemical Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of PTT Global Chemical Public Company Limited. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.0%, MDD -28.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.3%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.0%, MDD -28.5%, Sharpe 0.38, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.2%, MDD -57.5%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 57.2%p (CAGR 5.0%, MDD -28.5%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=15, threshold=23 |
5.0% | -28.5% | 0.38 | 0.17 | 2.1x | 93 | 19% |
| SMA 크로스오버 fast=9, slow=41 |
5.2% | -57.5% | 0.35 | 0.09 | 2.1x | 93 | 47% |
| 볼린저 밴드 돌파 n=53, k=2.5 |
3.7% | -28.9% | 0.34 | 0.13 | 1.7x | 28 | 19% |
| MACD fast=21, slow=27, signal=27 |
3.8% | -59.8% | 0.28 | 0.06 | 1.7x | 141 | 49% |
| Supertrend period=25, mult=4.3 |
3.4% | -43.0% | 0.26 | 0.08 | 1.6x | 53 | 48% |
| ROC 모멘텀 n=27, threshold=0.13 |
2.5% | -30.9% | 0.26 | 0.08 | 1.5x | 112 | 11% |
| Donchian 채널 돌파 entryN=20, exitN=25 |
2.5% | -57.3% | 0.22 | 0.04 | 1.4x | 75 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=1.5 |
1.9% | -39.7% | 0.19 | 0.05 | 1.3x | 85 | 35% |
| EMA 크로스오버 fast=34, slow=60 |
1.6% | -48.6% | 0.18 | 0.03 | 1.3x | 43 | 43% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.0% | -66.6% | 0.07 | -0.01 | 0.9x | 113 | 47% |
| Buy and hold | -1.3% | -85.7% | 0.14 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 15-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)