Trend-Following Backtester · Guide · backtest 한국어
equity · TH
True Corporation Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of True Corporation Public Company Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -50.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.4%, drawdown -98.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -58.0%, Sharpe 0.42, 16% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 7.4%, MDD -50.1%, exposure 29%).
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=26, k=3 |
8.1% | -58.0% | 0.42 | 0.14 | 8.0x | 80 | 16% |
| Supertrend period=29, mult=2 |
7.8% | -59.4% | 0.38 | 0.13 | 7.5x | 288 | 45% |
| Donchian 채널 돌파 entryN=75, exitN=30 |
7.4% | -50.1% | 0.38 | 0.15 | 6.8x | 56 | 29% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=2.5 |
6.9% | -61.7% | 0.37 | 0.11 | 6.0x | 98 | 25% |
| SMA 크로스오버 fast=12, slow=166 |
6.9% | -62.8% | 0.36 | 0.11 | 6.0x | 62 | 45% |
| EMA 크로스오버 fast=50, slow=157 |
6.4% | -62.1% | 0.35 | 0.10 | 5.2x | 31 | 45% |
| ROC 모멘텀 n=98, threshold=-0.07 |
5.8% | -73.7% | 0.33 | 0.08 | 4.5x | 238 | 56% |
| Parabolic SAR step=0.01, maxStep=0.32 |
4.5% | -65.7% | 0.30 | 0.07 | 3.2x | 284 | 48% |
| MACD fast=18, slow=66, signal=19 |
4.1% | -74.7% | 0.29 | 0.06 | 2.9x | 252 | 52% |
| ADX / DI 방향성 period=22, threshold=11 |
1.9% | -69.9% | 0.23 | 0.03 | 1.7x | 358 | 45% |
| Buy and hold | -3.4% | -98.4% | 0.18 | -0.03 | 0.4x | 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 26-day average (3× volatility)
- Sell — Sell when the close falls back to the 26-day middle average