Trend-Following Backtester · Guide · backtest 한국어
equity · QA
AlRayan Bank backtest
10 trend-following strategies were compared on the full daily history of AlRayan Bank. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 2.9%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -90.0%, Sharpe 0.33, 47% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=60, exitN=59 |
5.2% | -90.0% | 0.33 | 0.06 | 2.3x | 28 | 47% |
| EMA 크로스오버 fast=35, slow=74 |
4.8% | -90.9% | 0.33 | 0.05 | 2.2x | 34 | 54% |
| SMA 크로스오버 fast=35, slow=116 |
4.6% | -90.0% | 0.33 | 0.05 | 2.1x | 34 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.2% | -90.3% | 0.33 | 0.04 | 1.7x | 98 | 47% |
| ROC 모멘텀 n=115, threshold=0.11 |
2.2% | -90.0% | 0.32 | 0.02 | 1.4x | 110 | 23% |
| MACD fast=23, slow=27, signal=15 |
-2.3% | -94.0% | 0.31 | -0.02 | 0.7x | 198 | 50% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
2.6% | -90.8% | 0.23 | 0.03 | 1.5x | 24 | 7% |
| ADX / DI 방향성 period=39, threshold=23 |
-10.1% | -99.1% | 0.21 | -0.10 | 0.2x | 24 | 10% |
| Supertrend period=12, mult=3.1 |
-11.1% | -99.2% | 0.21 | -0.11 | 0.1x | 106 | 48% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=25, mult=2 |
-11.0% | -99.1% | 0.21 | -0.11 | 0.1x | 92 | 27% |
| Buy and hold | 2.9% | -90.3% | 0.33 | 0.03 | 1.6x | 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 60 days
- Sell — Sell when price breaks below the lowest low of the last 59 days