Trend-Following Backtester · Guide · backtest 한국어
equity · EG
Misr Fertilizers Production Company MOPCO backtest
10 trend-following strategies were compared on the full daily history of Misr Fertilizers Production Company MOPCO. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.1%, MDD -42.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -96.3%).
Sharpe leader (same as main): Supertrend — CAGR 33.6%, MDD -63.8%, Sharpe 1.03, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.4%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 23.1%, MDD -42.0%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=5 |
33.6% | -63.8% | 1.03 | 0.53 | 17.5x | 24 | 61% |
| Donchian 채널 돌파 entryN=66, exitN=20 |
25.1% | -42.1% | 0.88 | 0.60 | 9.2x | 26 | 34% |
| 볼린저 밴드 돌파 n=31, k=1.1 |
24.9% | -52.9% | 0.88 | 0.47 | 9.0x | 78 | 38% |
| SMA 크로스오버 fast=31, slow=61 |
26.0% | -46.2% | 0.84 | 0.56 | 9.8x | 36 | 53% |
| ROC 모멘텀 n=50, threshold=-0.02 |
25.2% | -50.8% | 0.81 | 0.50 | 9.3x | 122 | 58% |
| ADX / DI 방향성 period=18, threshold=18 |
23.1% | -42.0% | 0.81 | 0.55 | 7.8x | 90 | 43% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=1.1 |
19.0% | -55.5% | 0.72 | 0.34 | 5.6x | 84 | 39% |
| EMA 크로스오버 fast=39, slow=55 |
11.6% | -92.8% | 0.66 | 0.12 | 3.0x | 16 | 56% |
| MACD fast=15, slow=43, signal=12 |
14.3% | -77.3% | 0.55 | 0.18 | 3.7x | 105 | 52% |
| Parabolic SAR step=0.025, maxStep=0.24 |
1.0% | -96.0% | 0.44 | 0.01 | 1.1x | 192 | 49% |
| Buy and hold | -0.9% | -96.3% | 0.41 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)