Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Thai Oil Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Thai Oil Public Co. Ltd.. 8 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 4.3%, MDD -18.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.8%, drawdown -81.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -18.2%, Sharpe 0.50, 8% exposure.
CAGR reference leader: Parabolic SAR — CAGR 8.7%, MDD -53.3%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 63.2%p (CAGR 4.3%, MDD -18.2%, exposure 8%).
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=37, k=3.5 |
4.3% | -18.2% | 0.50 | 0.24 | 2.5x | 19 | 8% |
| Parabolic SAR step=0.01, maxStep=0.1 |
8.7% | -53.3% | 0.48 | 0.16 | 6.2x | 243 | 51% |
| Supertrend period=25, mult=4.4 |
8.5% | -57.3% | 0.47 | 0.15 | 5.9x | 75 | 51% |
| MACD fast=18, slow=52, signal=20 |
7.8% | -49.5% | 0.44 | 0.16 | 5.2x | 195 | 50% |
| Donchian 채널 돌파 entryN=14, exitN=77 |
8.2% | -54.4% | 0.42 | 0.15 | 5.6x | 61 | 80% |
| SMA 크로스오버 fast=44, slow=71 |
6.8% | -45.6% | 0.40 | 0.15 | 4.2x | 79 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=2.7 |
3.6% | -48.3% | 0.29 | 0.08 | 2.2x | 71 | 28% |
| EMA 크로스오버 fast=45, slow=61 |
3.8% | -66.0% | 0.28 | 0.06 | 2.3x | 59 | 52% |
| ADX / DI 방향성 period=31, threshold=35 |
0.7% | -15.4% | 0.18 | 0.04 | 1.2x | 4 | 1% |
| ROC 모멘텀 n=60, threshold=0.01 |
0.4% | -67.4% | 0.13 | 0.01 | 1.1x | 261 | 49% |
| Buy and hold | 1.8% | -81.4% | 0.24 | 0.02 | 1.5x | 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 37-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 37-day middle average