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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -28.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.6%, drawdown -85.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -28.9%, Sharpe 0.34, 19% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 4.3%, MDD -28.5%, exposure 19%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 56.8%p (CAGR 4.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=2.5 |
3.7% | -28.9% | 0.34 | 0.13 | 1.7x | 28 | 19% |
| ADX / DI 방향성 period=15, threshold=23 |
4.3% | -28.5% | 0.34 | 0.15 | 1.9x | 91 | 19% |
| SMA 크로스오버 fast=9, slow=41 |
3.9% | -57.5% | 0.29 | 0.07 | 1.8x | 93 | 46% |
| ROC 모멘텀 n=27, threshold=0.13 |
2.6% | -30.9% | 0.26 | 0.08 | 1.5x | 103 | 11% |
| MACD fast=21, slow=27, signal=27 |
2.5% | -59.8% | 0.23 | 0.04 | 1.4x | 141 | 48% |
| Supertrend period=25, mult=4.3 |
2.0% | -43.0% | 0.20 | 0.05 | 1.3x | 53 | 48% |
| Donchian 채널 돌파 entryN=20, exitN=25 |
1.2% | -57.3% | 0.17 | 0.02 | 1.2x | 75 | 54% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=1.5 |
0.6% | -39.7% | 0.13 | 0.01 | 1.1x | 85 | 35% |
| EMA 크로스오버 fast=34, slow=60 |
0.3% | -48.6% | 0.12 | 0.01 | 1.0x | 43 | 43% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.2% | -66.6% | 0.01 | -0.03 | 0.7x | 113 | 47% |
| Buy and hold | -2.6% | -85.7% | 0.10 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 53-day middle average