Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Ford Otomotiv Sanayi A.S. backtest
10 trend-following strategies were compared on the full daily history of Ford Otomotiv Sanayi A.S.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.6%, MDD -59.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.5%, drawdown -76.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.6%, MDD -59.2%, Sharpe 0.64, 82% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 16.9%p (CAGR 18.6%, MDD -59.2%, exposure 82%).
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=22, exitN=81 |
18.6% | -59.2% | 0.64 | 0.31 | 89.1x | 50 | 82% |
| EMA 크로스오버 fast=10, slow=110 |
13.2% | -65.3% | 0.53 | 0.20 | 25.8x | 84 | 67% |
| SMA 크로스오버 fast=35, slow=208 |
13.1% | -58.0% | 0.53 | 0.23 | 25.3x | 40 | 68% |
| Supertrend period=9, mult=3.5 |
12.1% | -77.3% | 0.53 | 0.16 | 20.4x | 148 | 55% |
| ROC 모멘텀 n=121, threshold=-0.01 |
12.0% | -74.0% | 0.50 | 0.16 | 19.9x | 204 | 69% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=1.9 |
7.7% | -57.5% | 0.44 | 0.13 | 7.1x | 192 | 28% |
| 볼린저 밴드 돌파 n=32, k=1.9 |
7.6% | -67.3% | 0.42 | 0.11 | 6.9x | 186 | 36% |
| MACD fast=23, slow=36, signal=22 |
7.4% | -64.0% | 0.39 | 0.12 | 6.6x | 267 | 50% |
| ADX / DI 방향성 period=39, threshold=15 |
4.6% | -45.0% | 0.30 | 0.10 | 3.3x | 112 | 33% |
| Parabolic SAR step=0.025, maxStep=0.26 |
3.8% | -51.3% | 0.27 | 0.07 | 2.7x | 607 | 52% |
| Buy and hold | 22.5% | -76.0% | 0.68 | 0.30 | 206.9x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 81 days