Trend-Following Backtester · Guide · backtest 한국어
etf · TH
Thailand Future Fund backtest
10 trend-following strategies were compared on the full daily history of Thailand Future Fund. 8 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 1.3%, MDD -7.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.5%, drawdown -59.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -7.7%, Sharpe 0.37, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR 1.3%, MDD -7.7%, exposure 3%).
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=34, threshold=31 |
1.3% | -7.7% | 0.37 | 0.17 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=80, exitN=45 |
-1.1% | -53.1% | 0.16 | -0.02 | 0.9x | 9 | 27% |
| Supertrend period=27, mult=1.6 |
-1.5% | -54.1% | 0.15 | -0.03 | 0.9x | 79 | 48% |
| SMA 크로스오버 fast=14, slow=213 |
-1.7% | -53.2% | 0.14 | -0.03 | 0.9x | 11 | 24% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-2.0% | -54.3% | 0.14 | -0.04 | 0.9x | 57 | 41% |
| EMA 크로스오버 fast=33, slow=63 |
-2.5% | -53.1% | 0.13 | -0.05 | 0.8x | 17 | 35% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=2.4 |
-3.5% | -54.4% | 0.10 | -0.06 | 0.8x | 23 | 19% |
| ROC 모멘텀 n=125, threshold=-0.03 |
-5.1% | -53.1% | 0.07 | -0.10 | 0.7x | 37 | 42% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
-10.0% | -58.6% | -0.38 | -0.17 | 0.5x | 6 | 4% |
| MACD fast=17, slow=33, signal=19 |
-13.4% | -71.9% | -0.48 | -0.19 | 0.3x | 74 | 48% |
| Buy and hold | -5.5% | -59.4% | 0.08 | -0.09 | 0.7x | 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, 34-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)