Trend-Following Backtester · Guide · backtest 한국어
equity · EG
Talaat Moustafa Group Holding backtest
10 trend-following strategies were compared on the full daily history of Talaat Moustafa Group Holding. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.8%, MDD -30.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.2%, drawdown -82.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.7%, MDD -30.7%, Sharpe 0.89, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.2%, MDD -54.2%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 51.9%p (CAGR 15.8%, MDD -30.6%, exposure 14%).
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=57, k=3.2 |
16.7% | -30.7% | 0.89 | 0.54 | 18.1x | 18 | 17% |
| SMA 크로스오버 fast=52, slow=91 |
23.2% | -54.2% | 0.85 | 0.43 | 50.4x | 43 | 55% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=18, mult=3.4 |
15.8% | -30.6% | 0.85 | 0.52 | 15.6x | 36 | 14% |
| Donchian 채널 돌파 entryN=53, exitN=74 |
20.0% | -50.6% | 0.74 | 0.40 | 30.6x | 25 | 63% |
| Parabolic SAR step=0.04, maxStep=0.16 |
17.9% | -59.9% | 0.74 | 0.30 | 22.1x | 474 | 50% |
| EMA 크로스오버 fast=32, slow=97 |
18.7% | -47.0% | 0.73 | 0.40 | 24.8x | 41 | 55% |
| Supertrend period=17, mult=4.8 |
17.7% | -53.2% | 0.73 | 0.33 | 21.1x | 55 | 50% |
| ROC 모멘텀 n=30, threshold=0.12 |
14.1% | -46.8% | 0.71 | 0.30 | 11.9x | 186 | 21% |
| ADX / DI 방향성 period=21, threshold=14 |
15.6% | -46.8% | 0.69 | 0.33 | 15.2x | 204 | 43% |
| MACD fast=17, slow=57, signal=5 |
4.8% | -79.2% | 0.31 | 0.06 | 2.4x | 322 | 50% |
| Buy and hold | 11.2% | -82.6% | 0.47 | 0.14 | 7.3x | 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 57-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 57-day middle average