Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Arabian Centres Co. backtest
10 trend-following strategies were compared on the full daily history of Arabian Centres Co.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -3.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.5%, drawdown -51.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -15.9%, Sharpe 0.36, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 0.8%, MDD -3.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=3.1 |
2.7% | -15.9% | 0.36 | 0.17 | 1.2x | 16 | 11% |
| ADX / DI 방향성 period=38, threshold=26 |
0.8% | -3.3% | 0.32 | 0.25 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=2.8 |
1.2% | -13.2% | 0.17 | 0.09 | 1.1x | 20 | 13% |
| ROC 모멘텀 n=38, threshold=0.14 |
0.1% | -16.8% | 0.05 | 0.01 | 1.0x | 28 | 6% |
| MACD fast=14, slow=23, signal=11 |
-0.8% | -25.0% | 0.04 | -0.03 | 0.9x | 100 | 49% |
| Donchian 채널 돌파 entryN=40, exitN=25 |
-1.2% | -24.1% | -0.02 | -0.05 | 0.9x | 22 | 32% |
| Supertrend period=7, mult=4.9 |
-2.1% | -38.0% | -0.05 | -0.05 | 0.9x | 24 | 43% |
| EMA 크로스오버 fast=22, slow=32 |
-2.4% | -40.2% | -0.08 | -0.06 | 0.8x | 36 | 41% |
| SMA 크로스오버 fast=10, slow=65 |
-2.6% | -37.6% | -0.09 | -0.07 | 0.8x | 30 | 41% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-6.0% | -46.6% | -0.25 | -0.13 | 0.6x | 148 | 48% |
| Buy and hold | -6.5% | -51.7% | -0.13 | -0.13 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 20-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 20-day middle average