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 7.5%, MDD -50.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.1%, drawdown -98.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -58.0%, Sharpe 0.43, 16% exposure.
CAGR reference leader: Supertrend — CAGR 8.2%, MDD -59.4%, exposure 45%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 7.5%, 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% | 0.43 | 0.14 | 8.0x | 80 | 16% |
| Supertrend period=29, mult=2 |
8.2% | -59.4% | 0.39 | 0.14 | 8.2x | 287 | 45% |
| Donchian 채널 돌파 entryN=75, exitN=30 |
7.5% | -50.1% | 0.38 | 0.15 | 6.8x | 56 | 29% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=2.5 |
7.3% | -61.7% | 0.38 | 0.12 | 6.5x | 97 | 25% |
| SMA 크로스오버 fast=12, slow=166 |
7.4% | -62.8% | 0.37 | 0.12 | 6.6x | 61 | 44% |
| EMA 크로스오버 fast=50, slow=157 |
6.8% | -62.1% | 0.36 | 0.11 | 5.7x | 31 | 45% |
| ROC 모멘텀 n=98, threshold=-0.07 |
6.1% | -73.7% | 0.34 | 0.08 | 4.9x | 237 | 56% |
| Parabolic SAR step=0.01, maxStep=0.32 |
4.8% | -65.7% | 0.30 | 0.07 | 3.5x | 283 | 48% |
| MACD fast=18, slow=66, signal=19 |
4.4% | -74.7% | 0.30 | 0.06 | 3.1x | 251 | 52% |
| ADX / DI 방향성 period=22, threshold=11 |
2.2% | -69.9% | 0.24 | 0.03 | 1.8x | 357 | 46% |
| Buy and hold | -3.1% | -98.4% | 0.19 | -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