Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turkiye Sise ve Cam Fabrikalari A.S. backtest
10 trend-following strategies were compared on the full daily history of Turkiye Sise ve Cam Fabrikalari A.S.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.3%, MDD -51.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.7%, drawdown -71.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.7%, MDD -56.7%, Sharpe 0.71, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.3%, MDD -51.0%, exposure 69%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 17.3%, MDD -51.0%, exposure 69%).
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=23, k=0.7 |
16.7% | -56.7% | 0.71 | 0.30 | 59.5x | 364 | 49% |
| Parabolic SAR step=0.01, maxStep=0.18 |
16.2% | -55.8% | 0.68 | 0.29 | 52.3x | 316 | 53% |
| SMA 크로스오버 fast=50, slow=254 |
17.3% | -51.0% | 0.65 | 0.34 | 67.9x | 32 | 69% |
| EMA 크로스오버 fast=53, slow=209 |
16.3% | -64.4% | 0.62 | 0.25 | 53.4x | 38 | 71% |
| MACD fast=18, slow=51, signal=16 |
14.2% | -58.3% | 0.61 | 0.24 | 33.6x | 264 | 51% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=16, mult=1 |
13.2% | -55.9% | 0.61 | 0.24 | 26.5x | 314 | 45% |
| ADX / DI 방향성 period=19, threshold=9 |
14.1% | -49.6% | 0.60 | 0.28 | 32.4x | 430 | 56% |
| ROC 모멘텀 n=129, threshold=-0.07 |
14.8% | -54.8% | 0.58 | 0.27 | 38.5x | 170 | 75% |
| Supertrend period=8, mult=2.3 |
12.8% | -52.7% | 0.56 | 0.24 | 23.9x | 276 | 55% |
| Donchian 채널 돌파 entryN=67, exitN=75 |
11.8% | -57.1% | 0.51 | 0.21 | 18.8x | 48 | 64% |
| Buy and hold | 19.7% | -71.7% | 0.64 | 0.27 | 115.6x | 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 23-day average (0.7× volatility)
- Sell — Sell when the close falls back to the 23-day middle average