Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Koc Holding A.S. backtest
10 trend-following strategies were compared on the full daily history of Koc Holding A.S.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.5%, MDD -38.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.7%, drawdown -98.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.5%, MDD -40.4%, Sharpe 0.75, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 57.7%p (CAGR 13.5%, MDD -38.8%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=1.5 |
16.5% | -40.4% | 0.75 | 0.41 | 56.0x | 237 | 40% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=26, mult=1.7 |
13.5% | -38.8% | 0.66 | 0.35 | 28.0x | 211 | 34% |
| Parabolic SAR step=0.01, maxStep=0.08 |
14.9% | -65.0% | 0.64 | 0.23 | 39.0x | 303 | 53% |
| MACD fast=16, slow=29, signal=19 |
13.9% | -52.5% | 0.60 | 0.26 | 30.6x | 305 | 52% |
| Donchian 채널 돌파 entryN=21, exitN=25 |
12.4% | -64.7% | 0.54 | 0.19 | 21.5x | 133 | 58% |
| EMA 크로스오버 fast=18, slow=62 |
12.2% | -56.9% | 0.54 | 0.21 | 20.4x | 99 | 58% |
| Supertrend period=22, mult=2.4 |
12.2% | -67.6% | 0.54 | 0.18 | 20.5x | 269 | 57% |
| ADX / DI 방향성 period=11, threshold=11 |
10.4% | -56.3% | 0.49 | 0.18 | 13.4x | 605 | 56% |
| SMA 크로스오버 fast=4, slow=187 |
9.0% | -78.6% | 0.44 | 0.11 | 9.7x | 113 | 61% |
| ROC 모멘텀 n=129, threshold=0.04 |
6.3% | -78.4% | 0.36 | 0.08 | 5.0x | 258 | 56% |
| Buy and hold | 3.7% | -98.1% | 0.40 | 0.04 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 25-day middle average