Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Awwal Bank backtest
10 trend-following strategies were compared on the full daily history of Saudi Awwal Bank. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.2%, MDD -40.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.2%, drawdown -88.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.2%, MDD -40.1%, Sharpe 0.25, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 3.2%, MDD -40.1%, 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=59, slow=172 |
3.2% | -40.1% | 0.25 | 0.08 | 1.7x | 24 | 56% |
| Donchian 채널 돌파 entryN=110, exitN=58 |
2.5% | -44.3% | 0.22 | 0.06 | 1.5x | 22 | 45% |
| EMA 크로스오버 fast=44, slow=87 |
0.3% | -45.4% | 0.13 | 0.01 | 1.1x | 38 | 54% |
| ROC 모멘텀 n=71, threshold=-0.01 |
-0.2% | -58.4% | 0.11 | -0.00 | 1.0x | 168 | 56% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.4% | -33.8% | 0.10 | 0.01 | 1.1x | 12 | 5% |
| Supertrend period=9, mult=4.1 |
-0.9% | -54.5% | 0.10 | -0.02 | 0.9x | 72 | 55% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=9, mult=3.7 |
-0.1% | -38.0% | 0.08 | -0.00 | 1.0x | 36 | 13% |
| MACD fast=58, slow=69, signal=16 |
-5.1% | -76.2% | -0.08 | -0.07 | 0.4x | 100 | 49% |
| ADX / DI 방향성 period=17, threshold=30 |
-2.5% | -51.6% | -0.08 | -0.05 | 0.7x | 50 | 10% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-5.4% | -63.8% | -0.16 | -0.08 | 0.4x | 129 | 50% |
| Buy and hold | 2.2% | -88.8% | 0.22 | 0.02 | 1.4x | 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 59-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 59-day average falls below the 172-day average