Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Mesaieed Petrochemical Holding Company Q.S.C. backtest
10 trend-following strategies were compared on the full daily history of Mesaieed Petrochemical Holding Company Q.S.C.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -15.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.4%, drawdown -90.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -32.6%, Sharpe 0.31, 27% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.3%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR 2.7%, MDD -15.6%, exposure 5%).
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=43, exitN=27 |
4.0% | -32.6% | 0.31 | 0.12 | 1.6x | 24 | 27% |
| ADX / DI 방향성 period=27, threshold=32 |
2.7% | -15.6% | 0.30 | 0.17 | 1.4x | 10 | 5% |
| EMA 크로스오버 fast=41, slow=199 |
3.5% | -33.6% | 0.29 | 0.10 | 1.5x | 10 | 26% |
| SMA 크로스오버 fast=28, slow=185 |
2.6% | -33.0% | 0.24 | 0.08 | 1.4x | 15 | 33% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
1.4% | -18.9% | 0.18 | 0.07 | 1.2x | 14 | 8% |
| ROC 모멘텀 n=142, threshold=-0.01 |
0.3% | -47.4% | 0.10 | 0.01 | 1.0x | 61 | 32% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=3.9 |
-0.1% | -28.3% | 0.05 | -0.00 | 1.0x | 22 | 15% |
| Supertrend period=11, mult=5 |
-2.3% | -47.4% | -0.02 | -0.05 | 0.8x | 34 | 42% |
| MACD fast=25, slow=41, signal=22 |
-4.8% | -72.3% | -0.16 | -0.07 | 0.5x | 116 | 51% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-6.0% | -64.0% | -0.25 | -0.09 | 0.5x | 80 | 40% |
| Buy and hold | -16.4% | -90.1% | -0.41 | -0.18 | 0.1x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 27 days