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.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -46.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.9%, drawdown -65.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -51.4%, Sharpe 0.48, 46% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 14.5%p (CAGR 8.1%, MDD -46.8%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=16 |
9.6% | -51.4% | 0.48 | 0.19 | 4.5x | 84 | 46% |
| Supertrend period=17, mult=4.9 |
8.1% | -46.8% | 0.41 | 0.17 | 3.6x | 60 | 56% |
| MACD fast=19, slow=59, signal=24 |
7.5% | -48.1% | 0.40 | 0.15 | 3.3x | 140 | 51% |
| ROC 모멘텀 n=32, threshold=-0.06 |
7.5% | -51.4% | 0.38 | 0.15 | 3.3x | 166 | 73% |
| EMA 크로스오버 fast=12, slow=19 |
6.8% | -62.8% | 0.38 | 0.11 | 3.0x | 146 | 53% |
| 볼린저 밴드 돌파 n=27, k=2.5 |
5.8% | -57.6% | 0.36 | 0.10 | 2.5x | 78 | 27% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=12, mult=2.9 |
5.5% | -57.3% | 0.35 | 0.10 | 2.4x | 56 | 26% |
| ADX / DI 방향성 period=38, threshold=35 |
1.7% | -10.0% | 0.34 | 0.17 | 1.3x | 4 | 1% |
| SMA 크로스오버 fast=18, slow=85 |
5.2% | -55.0% | 0.32 | 0.10 | 2.3x | 46 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.5% | -53.6% | 0.20 | 0.03 | 1.3x | 244 | 51% |
| Buy and hold | 4.9% | -65.9% | 0.32 | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 16 days