Trend-Following Backtester · Guide · backtest 한국어
equity · EG
Commercial International Bank - Egypt (CIB) S.A.E. backtest
10 trend-following strategies were compared on the full daily history of Commercial International Bank - Egypt (CIB) S.A.E.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.5%, MDD -36.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 21.7%, drawdown -60.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.8%, MDD -41.1%, Sharpe 1.00, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 22.5%, MDD -36.0%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=113 |
23.8% | -41.1% | 1.00 | 0.58 | 246.3x | 39 | 65% |
| Donchian 채널 돌파 entryN=52, exitN=95 |
23.5% | -37.3% | 0.95 | 0.63 | 228.6x | 27 | 74% |
| EMA 크로스오버 fast=6, slow=153 |
22.5% | -36.0% | 0.95 | 0.63 | 187.9x | 61 | 67% |
| ROC 모멘텀 n=45, threshold=-0.09 |
23.0% | -47.2% | 0.91 | 0.49 | 206.6x | 151 | 88% |
| Supertrend period=9, mult=2.5 |
14.7% | -35.3% | 0.75 | 0.41 | 33.9x | 231 | 54% |
| ADX / DI 방향성 period=23, threshold=11 |
16.1% | -50.5% | 0.74 | 0.32 | 47.1x | 268 | 64% |
| Parabolic SAR step=0.03, maxStep=0.34 |
13.7% | -33.9% | 0.70 | 0.40 | 27.1x | 580 | 52% |
| 볼린저 밴드 돌파 n=22, k=1.5 |
12.3% | -39.1% | 0.70 | 0.31 | 19.8x | 258 | 40% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=19, mult=1.4 |
9.9% | -38.8% | 0.63 | 0.26 | 11.5x | 238 | 33% |
| MACD fast=16, slow=24, signal=9 |
11.3% | -60.2% | 0.60 | 0.19 | 15.8x | 404 | 52% |
| Buy and hold | 21.7% | -60.5% | 0.80 | 0.36 | 155.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 45-day average falls below the 113-day average