Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Bank Aljazira backtest
10 trend-following strategies were compared on the full daily history of Bank Aljazira. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -66.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -83.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -66.2%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 7.5%, MDD -66.2%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=216 |
7.5% | -66.2% | 0.33 | 0.11 | 3.3x | 14 | 56% |
| ADX / DI 방향성 period=25, threshold=26 |
2.9% | -31.1% | 0.32 | 0.09 | 1.6x | 34 | 13% |
| EMA 크로스오버 fast=23, slow=45 |
4.4% | -66.2% | 0.29 | 0.07 | 2.0x | 71 | 53% |
| Donchian 채널 돌파 entryN=33, exitN=27 |
3.9% | -66.2% | 0.28 | 0.06 | 1.9x | 65 | 45% |
| ROC 모멘텀 n=126, threshold=-0.03 |
2.4% | -66.4% | 0.26 | 0.04 | 1.5x | 131 | 61% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.6% | -79.6% | 0.21 | -0.01 | 0.9x | 111 | 47% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
-1.1% | -78.4% | 0.17 | -0.01 | 0.8x | 111 | 25% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=1.7 |
-2.3% | -79.9% | 0.14 | -0.03 | 0.7x | 129 | 26% |
| Supertrend period=10, mult=2.5 |
-4.0% | -90.4% | 0.11 | -0.04 | 0.5x | 155 | 53% |
| MACD fast=13, slow=42, signal=17 |
-6.6% | -91.5% | 0.04 | -0.07 | 0.3x | 199 | 50% |
| Buy and hold | 4.3% | -83.3% | 0.31 | 0.05 | 2.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 53-day average falls below the 216-day average