Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Eregli Demir Ve Celik Fabrikalari T.A.S. backtest
10 trend-following strategies were compared on the full daily history of Eregli Demir Ve Celik Fabrikalari T.A.S.. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 20.1%, MDD -44.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.5%, drawdown -73.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 20.1%, MDD -44.0%, Sharpe 0.78, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.2%, MDD -53.7%, exposure 83%.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 20.1%, MDD -44.0%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.08 |
20.1% | -44.0% | 0.78 | 0.46 | 122.3x | 299 | 53% |
| 볼린저 밴드 돌파 n=20, k=1.5 |
17.8% | -47.4% | 0.77 | 0.38 | 73.0x | 283 | 41% |
| Donchian 채널 돌파 entryN=19, exitN=78 |
23.2% | -53.7% | 0.76 | 0.43 | 237.3x | 57 | 83% |
| EMA 크로스오버 fast=22, slow=27 |
18.7% | -48.3% | 0.72 | 0.39 | 89.7x | 133 | 59% |
| MACD fast=13, slow=60, signal=11 |
17.9% | -55.3% | 0.71 | 0.32 | 75.2x | 335 | 51% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=32, mult=0.7 |
15.2% | -42.8% | 0.65 | 0.36 | 41.3x | 377 | 48% |
| Supertrend period=9, mult=2.7 |
15.4% | -50.8% | 0.64 | 0.30 | 43.2x | 223 | 54% |
| SMA 크로스오버 fast=6, slow=58 |
15.9% | -45.8% | 0.64 | 0.35 | 48.2x | 167 | 59% |
| ROC 모멘텀 n=68, threshold=-0.02 |
15.1% | -56.8% | 0.60 | 0.27 | 39.6x | 285 | 65% |
| ADX / DI 방향성 period=13, threshold=13 |
11.4% | -55.0% | 0.51 | 0.21 | 16.9x | 551 | 54% |
| Buy and hold | 21.5% | -73.3% | 0.67 | 0.29 | 165.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots