Trend-Following Backtester · Guide · backtest 한국어

equity · TH

Siam Cement Public Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of Siam Cement Public Co. Ltd.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.5%, MDD -29.3%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,586 (26.6 years)Costs 0.5%Venue SETMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 4.7%, drawdown -76.8%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.5%, MDD -29.3%, Sharpe 0.60, 20% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 9.5%, MDD -45.5%, exposure 52%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 7.5%, MDD -29.3%, exposure 20%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=54, k=2.7
7.5%-29.3%0.600.266.9x4620%
EMA 크로스오버
fast=51, slow=98
9.5%-40.5%0.560.2311.2x4151%
SMA 크로스오버
fast=10, slow=216
9.5%-45.5%0.560.2111.3x5552%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=26, mult=3.9
7.0%-41.0%0.530.176.0x5324%
Donchian 채널 돌파
entryN=81, exitN=15
6.0%-38.9%0.480.154.7x7324%
Supertrend
period=22, mult=3.3
7.4%-57.3%0.460.136.6x15149%
ROC 모멘텀
n=141, threshold=0.01
7.2%-58.7%0.450.126.3x18951%
ADX / DI 방향성
period=12, threshold=36
3.8%-28.6%0.390.132.7x11411%
Parabolic SAR
step=0.005, maxStep=0.36
3.3%-69.2%0.270.052.4x19350%
MACD
fast=18, slow=39, signal=14
-1.5%-86.9%0.02-0.020.7x34249%
Buy and hold4.7%-76.8%0.310.063.4x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -38% -58% -77% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -29.3% (2013-03-15 → 2025-07-18), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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