Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Banque Saudi Fransi backtest
10 trend-following strategies were compared on the full daily history of Banque Saudi Fransi. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.4%, drawdown -72.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.2%, MDD -67.5%, Sharpe 0.23, 52% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=73, slow=183 |
1.2% | -67.5% | 0.23 | 0.02 | 1.2x | 29 | 52% |
| Donchian 채널 돌파 entryN=45, exitN=69 |
0.1% | -64.4% | 0.21 | 0.00 | 1.0x | 29 | 59% |
| ROC 모멘텀 n=77, threshold=-0.12 |
-1.3% | -71.3% | 0.20 | -0.02 | 0.8x | 105 | 82% |
| Supertrend period=9, mult=3.5 |
-2.3% | -73.7% | 0.17 | -0.03 | 0.7x | 105 | 53% |
| ADX / DI 방향성 period=34, threshold=13 |
-1.4% | -69.4% | 0.13 | -0.02 | 0.8x | 99 | 26% |
| EMA 크로스오버 fast=18, slow=213 |
-2.7% | -73.8% | 0.12 | -0.04 | 0.6x | 39 | 53% |
| MACD fast=30, slow=77, signal=10 |
-5.0% | -85.0% | 0.12 | -0.06 | 0.4x | 173 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-6.2% | -85.0% | 0.10 | -0.07 | 0.3x | 125 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=28, mult=3.3 |
-5.8% | -71.7% | 0.05 | -0.08 | 0.4x | 34 | 6% |
| 볼린저 밴드 돌파 n=42, k=3.3 |
-6.3% | -74.3% | 0.04 | -0.08 | 0.3x | 20 | 6% |
| Buy and hold | 2.4% | -72.9% | 0.27 | 0.03 | 1.5x | 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 73-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 73-day average falls below the 183-day average