Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Etihad Etisalat Co. backtest
10 trend-following strategies were compared on the full daily history of Etihad Etisalat Co.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -30.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.3%, drawdown -86.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.1%, MDD -32.0%, Sharpe 0.39, 47% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.7%, MDD -30.9%, exposure 62%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 54.7%p (CAGR 5.7%, MDD -30.9%, exposure 62%).
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=100, exitN=52 |
5.1% | -32.0% | 0.39 | 0.16 | 2.2x | 22 | 47% |
| EMA 크로스오버 fast=35, slow=186 |
5.7% | -30.9% | 0.38 | 0.18 | 2.5x | 22 | 62% |
| Supertrend period=16, mult=5 |
5.0% | -37.1% | 0.36 | 0.14 | 2.2x | 44 | 56% |
| ROC 모멘텀 n=133, threshold=0 |
4.2% | -34.4% | 0.31 | 0.12 | 2.0x | 120 | 61% |
| Parabolic SAR step=0.005, maxStep=0.04 |
3.6% | -39.6% | 0.29 | 0.09 | 1.8x | 109 | 53% |
| SMA 크로스오버 fast=18, slow=179 |
3.4% | -50.7% | 0.28 | 0.07 | 1.7x | 32 | 59% |
| MACD fast=12, slow=68, signal=21 |
2.3% | -44.1% | 0.22 | 0.05 | 1.5x | 167 | 49% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=14, mult=3.5 |
1.3% | -21.4% | 0.20 | 0.06 | 1.2x | 30 | 10% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
1.8% | -34.7% | 0.20 | 0.05 | 1.3x | 86 | 35% |
| ADX / DI 방향성 period=19, threshold=19 |
1.5% | -27.2% | 0.17 | 0.05 | 1.3x | 106 | 32% |
| Buy and hold | 2.3% | -86.8% | 0.22 | 0.03 | 1.5x | 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 100 days
- Sell — Sell when price breaks below the lowest low of the last 52 days