Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Srisawad Corporation Public Company Ltd backtest
10 trend-following strategies were compared on the full daily history of Srisawad Corporation Public Company Ltd. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -39.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -79.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.7%, MDD -42.0%, Sharpe 0.66, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.7%, MDD -39.5%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 37.6%p (CAGR 11.7%, MDD -39.5%, exposure 50%).
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=10, threshold=31 |
10.7% | -42.0% | 0.66 | 0.26 | 3.5x | 90 | 19% |
| 볼린저 밴드 돌파 n=24, k=2.7 |
8.8% | -34.8% | 0.61 | 0.25 | 2.8x | 34 | 15% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=19, mult=2.5 |
7.3% | -27.0% | 0.58 | 0.27 | 2.4x | 34 | 11% |
| SMA 크로스오버 fast=7, slow=115 |
11.7% | -39.5% | 0.57 | 0.30 | 3.9x | 33 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
11.7% | -60.0% | 0.55 | 0.20 | 3.9x | 85 | 50% |
| Donchian 채널 돌파 entryN=49, exitN=10 |
8.7% | -30.6% | 0.55 | 0.28 | 2.8x | 49 | 23% |
| Supertrend period=20, mult=3.5 |
10.0% | -57.9% | 0.50 | 0.17 | 3.2x | 61 | 49% |
| EMA 크로스오버 fast=45, slow=50 |
9.0% | -51.2% | 0.46 | 0.18 | 2.9x | 27 | 52% |
| ROC 모멘텀 n=41, threshold=0.1 |
7.2% | -41.9% | 0.45 | 0.17 | 2.3x | 131 | 28% |
| MACD fast=18, slow=23, signal=19 |
8.3% | -65.8% | 0.44 | 0.13 | 2.7x | 144 | 49% |
| Buy and hold | 10.9% | -79.6% | 0.46 | 0.14 | 3.5x | 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, 10-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)