Trend-Following Backtester · Guide · backtest 한국어
equity · EG
Telecom Egypt backtest
10 trend-following strategies were compared on the full daily history of Telecom Egypt. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.1%, MDD -43.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.4%, drawdown -75.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -43.9%, Sharpe 0.56, 40% exposure.
CAGR reference leader: Supertrend — CAGR 11.1%, MDD -50.0%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 10.1%, MDD -43.9%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=10 |
10.1% | -43.9% | 0.56 | 0.23 | 7.3x | 129 | 40% |
| Supertrend period=26, mult=3.8 |
11.1% | -50.0% | 0.55 | 0.22 | 8.9x | 77 | 53% |
| 볼린저 밴드 돌파 n=23, k=2.9 |
7.0% | -30.9% | 0.52 | 0.23 | 4.0x | 62 | 16% |
| SMA 크로스오버 fast=25, slow=74 |
8.8% | -58.5% | 0.47 | 0.15 | 5.8x | 63 | 53% |
| EMA 크로스오버 fast=55, slow=256 |
8.1% | -52.1% | 0.44 | 0.16 | 5.0x | 23 | 57% |
| ROC 모멘텀 n=45, threshold=-0.03 |
8.2% | -81.3% | 0.43 | 0.10 | 5.1x | 247 | 61% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=1.8 |
5.6% | -49.0% | 0.37 | 0.11 | 3.1x | 103 | 36% |
| ADX / DI 방향성 period=15, threshold=25 |
5.4% | -32.9% | 0.36 | 0.17 | 3.0x | 161 | 36% |
| Parabolic SAR step=0.015, maxStep=0.34 |
4.0% | -54.5% | 0.28 | 0.07 | 2.3x | 311 | 51% |
| MACD fast=23, slow=56, signal=16 |
0.5% | -82.1% | 0.14 | 0.01 | 1.1x | 221 | 51% |
| Buy and hold | 8.4% | -75.4% | 0.41 | 0.11 | 5.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 10 days