Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turkiye Garanti Bankasi Anonim Sirketi backtest
10 trend-following strategies were compared on the full daily history of Turkiye Garanti Bankasi Anonim Sirketi. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 17.8%, MDD -50.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.9%, drawdown -73.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.1%, MDD -60.3%, Sharpe 0.68, 72% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 13.1%p (CAGR 17.8%, MDD -50.1%, exposure 60%).
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=12, exitN=32 |
20.1% | -60.3% | 0.68 | 0.33 | 123.7x | 139 | 72% |
| ADX / DI 방향성 period=18, threshold=10 |
17.8% | -50.1% | 0.65 | 0.36 | 75.1x | 419 | 60% |
| EMA 크로스오버 fast=14, slow=130 |
17.9% | -64.9% | 0.64 | 0.28 | 76.9x | 70 | 63% |
| Supertrend period=10, mult=3.8 |
17.0% | -69.8% | 0.64 | 0.24 | 62.7x | 142 | 54% |
| SMA 크로스오버 fast=7, slow=177 |
17.7% | -67.9% | 0.64 | 0.26 | 72.9x | 66 | 63% |
| 볼린저 밴드 돌파 n=50, k=0.3 |
16.3% | -46.8% | 0.62 | 0.35 | 53.4x | 281 | 55% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=1.2 |
14.0% | -44.9% | 0.58 | 0.31 | 31.3x | 264 | 47% |
| ROC 모멘텀 n=79, threshold=-0.03 |
14.1% | -83.4% | 0.55 | 0.17 | 32.4x | 263 | 66% |
| MACD fast=25, slow=41, signal=23 |
11.7% | -76.4% | 0.49 | 0.15 | 18.2x | 239 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
11.1% | -60.2% | 0.48 | 0.19 | 16.1x | 216 | 54% |
| Buy and hold | 21.9% | -73.4% | 0.65 | 0.30 | 183.2x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 32 days