Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Mobile Telecommunications Company Saudi Arabia backtest
10 trend-following strategies were compared on the full daily history of Mobile Telecommunications Company Saudi Arabia. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -27.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR -1.7%, drawdown -72.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -27.0%, Sharpe 0.23, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 1.7%, MDD -27.0%, exposure 4%).
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=30, threshold=36 |
1.7% | -27.0% | 0.23 | 0.06 | 1.3x | 12 | 4% |
| Donchian 채널 돌파 entryN=84, exitN=86 |
-2.0% | -78.3% | 0.09 | -0.03 | 0.7x | 20 | 49% |
| EMA 크로스오버 fast=48, slow=193 |
-2.3% | -68.1% | 0.08 | -0.03 | 0.7x | 26 | 47% |
| SMA 크로스오버 fast=47, slow=128 |
-3.3% | -76.8% | 0.07 | -0.04 | 0.6x | 36 | 45% |
| MACD fast=16, slow=71, signal=20 |
-4.1% | -61.5% | 0.04 | -0.07 | 0.5x | 163 | 49% |
| 볼린저 밴드 돌파 n=48, k=1.2 |
-4.5% | -78.1% | -0.01 | -0.06 | 0.5x | 99 | 33% |
| ROC 모멘텀 n=34, threshold=0.11 |
-3.5% | -69.6% | -0.02 | -0.05 | 0.6x | 160 | 16% |
| Supertrend period=24, mult=3.5 |
-6.1% | -66.0% | -0.03 | -0.09 | 0.4x | 93 | 46% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-9.7% | -87.7% | -0.15 | -0.11 | 0.2x | 105 | 46% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=4 |
-7.9% | -84.2% | -0.27 | -0.09 | 0.3x | 36 | 17% |
| Buy and hold | -1.7% | -72.8% | 0.19 | -0.02 | 0.8x | 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, 30-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)