Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Al-Babtain Power & Telecommunication Co. backtest
10 trend-following strategies were compared on the full daily history of Al-Babtain Power & Telecommunication Co.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -48.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.8%, drawdown -65.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -48.6%, Sharpe 0.50, 91% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 12.3%, MDD -48.6%, exposure 91%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=3, exitN=65 |
12.3% | -48.6% | 0.50 | 0.25 | 6.7x | 70 | 91% |
| Supertrend period=24, mult=2.9 |
9.2% | -52.1% | 0.45 | 0.18 | 4.2x | 120 | 57% |
| EMA 크로스오버 fast=9, slow=242 |
6.0% | -54.9% | 0.36 | 0.11 | 2.6x | 30 | 51% |
| 볼린저 밴드 돌파 n=26, k=2.4 |
5.7% | -55.5% | 0.36 | 0.10 | 2.5x | 84 | 27% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=16, mult=2.6 |
5.3% | -56.1% | 0.34 | 0.10 | 2.3x | 72 | 26% |
| ADX / DI 방향성 period=38, threshold=35 |
1.7% | -10.0% | 0.34 | 0.17 | 1.3x | 4 | 1% |
| ROC 모멘텀 Hold-like · Exposure 98% n=4, threshold=-0.1 |
5.8% | -64.0% | 0.34 | 0.09 | 2.5x | 63 | 98% |
| SMA 크로스오버 fast=15, slow=85 |
5.7% | -53.1% | 0.33 | 0.11 | 2.5x | 54 | 55% |
| MACD fast=11, slow=48, signal=7 |
4.1% | -55.0% | 0.29 | 0.07 | 1.9x | 288 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
2.1% | -56.8% | 0.22 | 0.04 | 1.4x | 246 | 51% |
| Buy and hold | 4.8% | -65.9% | 0.31 | 0.07 | 2.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 3 days
- Sell — Sell when price breaks below the lowest low of the last 65 days