Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Thai Union Group Public Company Limited backtest
10 trend-following strategies were compared on the full daily history of Thai Union Group Public Company Limited. 5 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 6.7%, MDD -28.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.6%, drawdown -62.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.7%, MDD -28.7%, Sharpe 0.53, 22% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -42.3%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 6.7%, MDD -28.7%, exposure 22%).
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=50, threshold=17 |
6.7% | -28.7% | 0.53 | 0.23 | 5.6x | 50 | 22% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
4.7% | -27.7% | 0.50 | 0.17 | 3.4x | 24 | 12% |
| SMA 크로스오버 fast=48, slow=189 |
7.1% | -42.3% | 0.45 | 0.17 | 6.2x | 39 | 55% |
| EMA 크로스오버 fast=49, slow=129 |
7.0% | -39.7% | 0.44 | 0.18 | 6.0x | 39 | 57% |
| Supertrend period=20, mult=5 |
6.1% | -70.0% | 0.39 | 0.09 | 4.8x | 71 | 55% |
| Donchian 채널 돌파 entryN=63, exitN=71 |
6.1% | -63.1% | 0.39 | 0.10 | 4.9x | 45 | 58% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=22, mult=3.9 |
4.6% | -44.2% | 0.39 | 0.10 | 3.3x | 51 | 24% |
| ROC 모멘텀 n=138, threshold=0 |
4.1% | -62.1% | 0.30 | 0.07 | 2.9x | 215 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.9% | -66.9% | 0.24 | 0.04 | 2.1x | 169 | 52% |
| MACD fast=22, slow=73, signal=25 |
1.8% | -65.2% | 0.19 | 0.03 | 1.6x | 205 | 50% |
| Buy and hold | 5.6% | -62.2% | 0.34 | 0.09 | 4.3x | 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, 50-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)