Trend-Following Backtester · Guide · backtest 한국어
equity · TH
SCG Packaging Public Co Ltd backtest
10 trend-following strategies were compared on the full daily history of SCG Packaging Public Co Ltd. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.2%, MDD -15.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.5%, drawdown -84.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.2%, MDD -25.1%, Sharpe 0.67, 23% exposure.
CAGR reference leader: Supertrend — CAGR 11.5%, MDD -50.4%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 4.2%, MDD -15.6%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=95, threshold=0.12 |
10.2% | -25.1% | 0.67 | 0.41 | 1.8x | 29 | 23% |
| SMA 크로스오버 fast=61, slow=248 |
9.1% | -24.9% | 0.60 | 0.37 | 1.7x | 3 | 22% |
| Supertrend period=14, mult=2.8 |
11.5% | -50.4% | 0.56 | 0.23 | 1.9x | 36 | 54% |
| EMA 크로스오버 fast=42, slow=69 |
9.3% | -36.4% | 0.52 | 0.26 | 1.7x | 9 | 41% |
| 볼린저 밴드 돌파 n=13, k=2.7 |
3.5% | -18.7% | 0.41 | 0.19 | 1.2x | 16 | 9% |
| ADX / DI 방향성 period=29, threshold=22 |
4.2% | -15.6% | 0.37 | 0.27 | 1.3x | 14 | 14% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=4 |
3.8% | -20.8% | 0.36 | 0.18 | 1.2x | 8 | 17% |
| Donchian 채널 돌파 entryN=69, exitN=44 |
4.9% | -47.6% | 0.34 | 0.10 | 1.3x | 9 | 32% |
| Parabolic SAR step=0.025, maxStep=0.24 |
1.1% | -54.2% | 0.17 | 0.02 | 1.1x | 122 | 52% |
| MACD fast=11, slow=33, signal=8 |
-6.8% | -61.5% | -0.19 | -0.11 | 0.7x | 100 | 46% |
| Buy and hold | -2.5% | -84.3% | 0.10 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 95-day return is greater than 12%
- Sell — Sell when the 95-day return drops to 12% or below