Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Aselsan Elektronik Sanayi ve Ticaret A.S. Class B backtest
10 trend-following strategies were compared on the full daily history of Aselsan Elektronik Sanayi ve Ticaret A.S. Class B. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 28.9%, MDD -52.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.7%, drawdown -99.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 43.1%, MDD -65.6%, Sharpe 1.08, 84% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 28.5%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 28.9%, MDD -52.9%, exposure 56%).
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=13, exitN=68 |
43.1% | -65.6% | 1.08 | 0.66 | 12096.4x | 58 | 84% |
| SMA 크로스오버 fast=11, slow=219 |
37.4% | -57.0% | 1.06 | 0.66 | 4119.1x | 35 | 68% |
| EMA 크로스오버 fast=8, slow=103 |
36.3% | -60.1% | 1.04 | 0.60 | 3340.9x | 106 | 67% |
| ROC 모멘텀 n=95, threshold=-0.03 |
35.2% | -60.5% | 1.00 | 0.58 | 2718.8x | 179 | 69% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=26, mult=2.8 |
31.2% | -56.3% | 1.00 | 0.55 | 1227.0x | 80 | 51% |
| 볼린저 밴드 돌파 n=25, k=1.5 |
27.6% | -59.0% | 0.96 | 0.47 | 590.9x | 258 | 42% |
| Supertrend period=18, mult=4.5 |
30.4% | -73.5% | 0.94 | 0.41 | 1056.3x | 98 | 59% |
| Parabolic SAR step=0.015, maxStep=0.06 |
28.9% | -52.9% | 0.93 | 0.55 | 777.1x | 306 | 56% |
| ADX / DI 방향성 period=23, threshold=17 |
27.2% | -67.9% | 0.90 | 0.40 | 548.5x | 200 | 44% |
| MACD fast=17, slow=53, signal=12 |
22.3% | -71.4% | 0.75 | 0.31 | 194.6x | 300 | 52% |
| Buy and hold | 14.7% | -99.8% | 0.71 | 0.15 | 36.2x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 68 days