Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Telecom Co. backtest
10 trend-following strategies were compared on the full daily history of Saudi Telecom Co.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.6%, drawdown -69.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.4%, MDD -69.5%, Sharpe 0.31, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
5.4% | -69.5% | 0.31 | 0.08 | 2.4x | 5 | 100% |
| Donchian 채널 돌파 entryN=67, exitN=34 |
4.5% | -66.8% | 0.28 | 0.07 | 2.0x | 38 | 42% |
| SMA 크로스오버 fast=18, slow=85 |
1.5% | -64.0% | 0.24 | 0.02 | 1.3x | 60 | 53% |
| EMA 크로스오버 fast=34, slow=106 |
1.0% | -65.3% | 0.23 | 0.02 | 1.2x | 40 | 53% |
| ADX / DI 방향성 period=26, threshold=30 |
1.2% | -16.3% | 0.22 | 0.07 | 1.2x | 20 | 9% |
| Supertrend period=10, mult=5 |
-3.6% | -87.7% | 0.11 | -0.04 | 0.5x | 64 | 55% |
| 볼린저 밴드 돌파 n=40, k=1.9 |
-3.6% | -87.3% | 0.10 | -0.04 | 0.5x | 84 | 33% |
| MACD fast=21, slow=30, signal=17 |
-4.3% | -85.9% | 0.09 | -0.05 | 0.5x | 168 | 51% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=10, mult=3.1 |
-4.4% | -85.8% | 0.08 | -0.05 | 0.5x | 60 | 24% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-6.1% | -86.5% | 0.05 | -0.07 | 0.4x | 174 | 55% |
| Buy and hold | 5.6% | -69.4% | 0.31 | 0.08 | 2.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below