Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi National Bank backtest
10 trend-following strategies were compared on the full daily history of Saudi National Bank. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.0%, MDD -35.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.8%, drawdown -54.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -37.5%, Sharpe 0.45, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -42.5%, exposure 67%.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 6.0%, MDD -35.2%, 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=37, slow=158 |
6.5% | -37.5% | 0.45 | 0.17 | 2.1x | 18 | 51% |
| EMA 크로스오버 fast=57, slow=206 |
6.1% | -43.5% | 0.44 | 0.14 | 2.0x | 9 | 49% |
| Donchian 채널 돌파 entryN=27, exitN=53 |
6.7% | -42.5% | 0.43 | 0.16 | 2.1x | 33 | 67% |
| Supertrend period=25, mult=4.9 |
6.0% | -35.2% | 0.42 | 0.17 | 2.0x | 43 | 56% |
| ROC 모멘텀 n=130, threshold=-0.06 |
5.4% | -50.3% | 0.37 | 0.11 | 1.9x | 63 | 64% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=3.7 |
3.7% | -28.5% | 0.34 | 0.13 | 1.5x | 35 | 30% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
3.3% | -39.1% | 0.29 | 0.08 | 1.5x | 55 | 39% |
| Parabolic SAR step=0.01, maxStep=0.3 |
3.4% | -47.3% | 0.27 | 0.07 | 1.5x | 133 | 51% |
| ADX / DI 방향성 period=30, threshold=21 |
2.2% | -22.5% | 0.26 | 0.10 | 1.3x | 34 | 19% |
| MACD fast=11, slow=29, signal=10 |
0.1% | -53.8% | 0.09 | 0.00 | 1.0x | 193 | 46% |
| Buy and hold | 4.8% | -54.6% | 0.31 | 0.09 | 1.7x | 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 37-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 37-day average falls below the 158-day average