Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Enka Insaat ve Sanayi A.S. backtest
10 trend-following strategies were compared on the full daily history of Enka Insaat ve Sanayi A.S.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.7%, MDD -34.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 25.5%, drawdown -76.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.9%, MDD -37.9%, Sharpe 0.91, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 25.7%, MDD -34.0%, exposure 77%).
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 Hold-like · Exposure 96% entryN=8, exitN=130 |
28.9% | -37.9% | 0.91 | 0.76 | 455.8x | 23 | 96% |
| SMA 크로스오버 fast=113, slow=176 |
25.7% | -34.0% | 0.89 | 0.76 | 245.5x | 27 | 77% |
| EMA 크로스오버 fast=58, slow=216 |
22.3% | -41.2% | 0.79 | 0.54 | 128.1x | 21 | 82% |
| ROC 모멘텀 n=141, threshold=-0.02 |
19.8% | -44.4% | 0.73 | 0.45 | 77.8x | 142 | 81% |
| ADX / DI 방향성 period=35, threshold=5 |
10.8% | -64.6% | 0.50 | 0.17 | 11.9x | 282 | 68% |
| Supertrend period=10, mult=3.9 |
10.3% | -44.3% | 0.49 | 0.23 | 10.7x | 110 | 61% |
| MACD fast=24, slow=33, signal=22 |
8.4% | -61.0% | 0.44 | 0.14 | 7.0x | 251 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
6.6% | -55.4% | 0.38 | 0.12 | 4.7x | 146 | 50% |
| Parabolic SAR step=0.03, maxStep=0.08 |
5.4% | -53.0% | 0.33 | 0.10 | 3.5x | 457 | 56% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=1.5 |
2.5% | -56.3% | 0.22 | 0.04 | 1.8x | 204 | 48% |
| Buy and hold | 25.5% | -76.2% | 0.81 | 0.33 | 235.9x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 130 days