Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Burgan Bank backtest
10 trend-following strategies were compared on the full daily history of Burgan Bank. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -55.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR -12.6%, drawdown -100.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -27.4%, MDD -100.0%, Sharpe 0.23, 74% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 1.0%, MDD -55.0%, exposure 7%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.8%p lower than buy and hold, while drawdown improves by 0.0%p (CAGR 1.0%, MDD -55.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=131, threshold=-0.09 |
-27.4% | -100.0% | 0.23 | -0.27 | 0.0x | 222 | 74% |
| SMA 크로스오버 fast=43, slow=210 |
-0.0% | -100.0% | 0.20 | -0.00 | 1.0x | 32 | 52% |
| EMA 크로스오버 fast=88, slow=133 |
-2.9% | -100.0% | 0.20 | -0.03 | 0.5x | 30 | 52% |
| ADX / DI 방향성 period=34, threshold=30 |
1.0% | -55.0% | 0.14 | 0.02 | 1.3x | 34 | 7% |
| Donchian 채널 돌파 entryN=60, exitN=74 |
-30.1% | -100.0% | 0.10 | -0.30 | 0.0x | 50 | 56% |
| Supertrend period=8, mult=5 |
-40.6% | -100.0% | -0.16 | -0.41 | 0.0x | 124 | 49% |
| MACD fast=16, slow=46, signal=22 |
-30.7% | -100.0% | -0.19 | -0.31 | 0.0x | 268 | 53% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
-30.8% | -100.0% | -0.20 | -0.31 | 0.0x | 38 | 12% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-28.0% | -100.0% | -0.26 | -0.28 | 0.0x | 383 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=5, mult=3.3 |
-39.7% | -100.0% | -0.33 | -0.40 | 0.0x | 110 | 28% |
| Buy and hold | -12.6% | -100.0% | 0.20 | -0.13 | 0.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 131-day return is greater than -9%
- Sell — Sell when the 131-day return drops to -9% or below