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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 22.1%, MDD -18.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.5%, drawdown -37.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.7%, MDD -18.2%, Sharpe 1.25, 33% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 22.1%, MDD -18.4%, exposure 41%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p lower than buy and hold, while drawdown improves by 19.2%p (CAGR 22.1%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=21 |
18.7% | -18.2% | 1.25 | 1.03 | 3.0x | 18 | 33% |
| Donchian 채널 돌파 entryN=25, exitN=10 |
22.1% | -18.4% | 1.23 | 1.20 | 3.6x | 35 | 41% |
| 볼린저 밴드 돌파 n=46, k=0.8 |
21.5% | -23.1% | 1.19 | 0.93 | 3.5x | 31 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=2.6 |
18.0% | -26.8% | 1.09 | 0.67 | 2.9x | 19 | 42% |
| ROC 모멘텀 n=52, threshold=0 |
19.6% | -32.3% | 1.01 | 0.61 | 3.1x | 55 | 59% |
| Supertrend period=26, mult=2.5 |
18.5% | -35.8% | 0.96 | 0.52 | 2.9x | 51 | 55% |
| SMA 크로스오버 fast=10, slow=26 |
17.3% | -47.4% | 0.91 | 0.36 | 2.8x | 55 | 57% |
| EMA 크로스오버 fast=19, slow=27 |
15.4% | -39.4% | 0.83 | 0.39 | 2.5x | 35 | 60% |
| Parabolic SAR step=0.015, maxStep=0.28 |
10.6% | -22.1% | 0.61 | 0.48 | 1.9x | 103 | 51% |
| MACD fast=8, slow=57, signal=14 |
8.0% | -22.8% | 0.51 | 0.35 | 1.6x | 87 | 45% |
| Buy and hold | 25.5% | -37.3% | 1.01 | 0.68 | 4.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)