Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Dr. Sulaiman Al-Habib Medical Services Group Co. backtest
10 trend-following strategies were compared on the full daily history of Dr. Sulaiman Al-Habib Medical Services Group Co.. 0 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 21.2%, MDD -18.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.0%, drawdown -37.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.2%, MDD -18.4%, Sharpe 1.19, 41% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 21.2%, MDD -18.4%, exposure 41%).
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=25, exitN=10 |
21.2% | -18.4% | 1.19 | 1.15 | 3.5x | 36 | 41% |
| 볼린저 밴드 돌파 n=46, k=0.8 |
21.1% | -23.1% | 1.17 | 0.91 | 3.4x | 31 | 51% |
| ADX / DI 방향성 period=26, threshold=21 |
16.9% | -18.2% | 1.15 | 0.93 | 2.7x | 21 | 33% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=2.6 |
17.6% | -26.8% | 1.06 | 0.66 | 2.8x | 19 | 43% |
| ROC 모멘텀 n=52, threshold=0 |
19.1% | -32.3% | 0.99 | 0.59 | 3.1x | 55 | 60% |
| Supertrend period=26, mult=2.5 |
16.9% | -36.5% | 0.90 | 0.46 | 2.7x | 53 | 55% |
| SMA 크로스오버 fast=10, slow=26 |
16.9% | -47.4% | 0.89 | 0.36 | 2.7x | 55 | 57% |
| EMA 크로스오버 fast=19, slow=27 |
15.0% | -40.5% | 0.81 | 0.37 | 2.5x | 35 | 60% |
| Parabolic SAR step=0.015, maxStep=0.28 |
9.2% | -22.1% | 0.55 | 0.42 | 1.8x | 105 | 51% |
| MACD fast=8, slow=57, signal=14 |
7.0% | -22.8% | 0.46 | 0.30 | 1.5x | 89 | 46% |
| Buy and hold | 25.0% | -37.3% | 1.00 | 0.67 | 4.2x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 10 days