Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Akbank T.A.S. backtest
10 trend-following strategies were compared on the full daily history of Akbank T.A.S.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.7%, MDD -50.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.8%, drawdown -94.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.9%, MDD -62.6%, Sharpe 0.54, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 11.7%, MDD -50.7%, exposure 59%).
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 n=180, threshold=-0.04 |
13.9% | -62.6% | 0.54 | 0.22 | 31.0x | 151 | 71% |
| EMA 크로스오버 fast=52, slow=282 |
12.9% | -75.0% | 0.53 | 0.17 | 24.6x | 25 | 64% |
| Donchian 채널 돌파 entryN=69, exitN=74 |
11.7% | -50.7% | 0.50 | 0.23 | 18.6x | 44 | 59% |
| SMA 크로스오버 fast=17, slow=217 |
10.7% | -57.4% | 0.47 | 0.19 | 14.5x | 50 | 64% |
| Supertrend period=23, mult=3.6 |
8.5% | -49.4% | 0.41 | 0.17 | 8.6x | 163 | 56% |
| 볼린저 밴드 돌파 n=52, k=1.6 |
7.2% | -58.2% | 0.38 | 0.12 | 6.2x | 136 | 42% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=25, mult=0.4 |
6.9% | -60.1% | 0.37 | 0.11 | 5.7x | 351 | 54% |
| MACD fast=18, slow=39, signal=19 |
4.3% | -79.7% | 0.29 | 0.05 | 3.0x | 321 | 52% |
| ADX / DI 방향성 period=36, threshold=20 |
3.6% | -39.8% | 0.28 | 0.09 | 2.5x | 44 | 15% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.9% | -81.7% | 0.24 | 0.04 | 2.1x | 435 | 54% |
| Buy and hold | 9.8% | -94.2% | 0.50 | 0.10 | 11.6x | 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 180-day return is greater than -4%
- Sell — Sell when the 180-day return drops to -4% or below