Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Arab National Bank backtest
10 trend-following strategies were compared on the full daily history of Arab National Bank. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.6%, drawdown -76.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.8%, MDD -64.2%, Sharpe 0.24, 76% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=136, threshold=-0.1 |
1.8% | -64.2% | 0.24 | 0.03 | 1.3x | 85 | 76% |
| Supertrend period=18, mult=3.8 |
1.5% | -58.6% | 0.22 | 0.03 | 1.3x | 85 | 50% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=3.3 |
1.8% | -57.8% | 0.22 | 0.03 | 1.3x | 32 | 7% |
| EMA 크로스오버 fast=18, slow=217 |
1.6% | -64.2% | 0.20 | 0.02 | 1.3x | 34 | 55% |
| Donchian 채널 돌파 entryN=19, exitN=77 |
-0.5% | -73.3% | 0.19 | -0.01 | 0.9x | 42 | 80% |
| SMA 크로스오버 fast=37, slow=49 |
-1.1% | -63.9% | 0.17 | -0.02 | 0.8x | 113 | 53% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-0.2% | -58.8% | 0.17 | -0.00 | 1.0x | 20 | 8% |
| ADX / DI 방향성 period=32, threshold=14 |
-1.5% | -61.9% | 0.15 | -0.02 | 0.8x | 118 | 27% |
| MACD fast=14, slow=43, signal=30 |
-2.4% | -73.6% | 0.14 | -0.03 | 0.7x | 167 | 50% |
| Parabolic SAR step=0.035, maxStep=0.38 |
-6.2% | -86.0% | 0.06 | -0.07 | 0.4x | 423 | 49% |
| Buy and hold | 2.6% | -76.6% | 0.26 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 136-day return is greater than -10%
- Sell — Sell when the 136-day return drops to -10% or below