Trend-Following Backtester · Guide · backtest 한국어
equity · TH
TMBThanachart Bank Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of TMBThanachart Bank 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 ADX / DI 방향성 (CAGR 1.9%, MDD -28.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.9%, drawdown -96.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.8%, MDD -29.5%, Sharpe 0.46, 14% exposure.
CAGR reference leader: Parabolic SAR — CAGR 7.3%, MDD -52.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 66.9%p (CAGR 1.9%, MDD -28.4%, 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=26, k=3.1 |
6.8% | -29.5% | 0.46 | 0.23 | 5.7x | 66 | 14% |
| Donchian 채널 돌파 entryN=77, exitN=14 |
6.9% | -32.7% | 0.45 | 0.21 | 6.0x | 66 | 20% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.3% | -52.6% | 0.40 | 0.14 | 6.5x | 164 | 49% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=1.9 |
5.8% | -42.0% | 0.37 | 0.14 | 4.5x | 152 | 25% |
| MACD fast=18, slow=57, signal=15 |
5.6% | -70.4% | 0.34 | 0.08 | 4.3x | 264 | 52% |
| Supertrend period=29, mult=3.6 |
5.2% | -61.7% | 0.33 | 0.08 | 3.9x | 118 | 48% |
| SMA 크로스오버 fast=11, slow=71 |
4.2% | -63.6% | 0.29 | 0.07 | 3.0x | 107 | 47% |
| ROC 모멘텀 n=143, threshold=-0.02 |
2.8% | -71.7% | 0.24 | 0.04 | 2.1x | 183 | 53% |
| EMA 크로스오버 fast=24, slow=43 |
2.8% | -69.0% | 0.24 | 0.04 | 2.1x | 111 | 47% |
| ADX / DI 방향성 period=16, threshold=39 |
1.9% | -28.4% | 0.20 | 0.07 | 1.7x | 58 | 8% |
| Buy and hold | -4.9% | -96.5% | 0.05 | -0.05 | 0.3x | 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 (3.1× volatility)
- Sell — Sell when the close falls back to the 26-day middle average