Trend-Following Backtester · Guide · backtest 한국어
equity · TR
Turkcell Iletisim Hizmetleri A.S. backtest
10 trend-following strategies were compared on the full daily history of Turkcell Iletisim Hizmetleri A.S.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -54.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.7%, drawdown -82.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -54.4%, Sharpe 0.51, 59% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.9%, MDD -58.8%, exposure 82%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 28.0%p (CAGR 11.5%, MDD -54.4%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=119 |
11.5% | -54.4% | 0.51 | 0.21 | 17.0x | 58 | 59% |
| ROC 모멘텀 n=138, threshold=-0.11 |
11.9% | -58.8% | 0.49 | 0.20 | 18.7x | 139 | 82% |
| Donchian 채널 돌파 entryN=39, exitN=73 |
10.0% | -55.8% | 0.45 | 0.18 | 12.0x | 55 | 67% |
| EMA 크로스오버 fast=45, slow=104 |
7.9% | -56.6% | 0.39 | 0.14 | 7.2x | 60 | 63% |
| Supertrend period=14, mult=4.8 |
4.1% | -77.3% | 0.28 | 0.05 | 2.8x | 92 | 52% |
| 볼린저 밴드 돌파 n=49, k=2 |
3.7% | -60.4% | 0.27 | 0.06 | 2.6x | 120 | 33% |
| ADX / DI 방향성 period=17, threshold=28 |
3.0% | -50.3% | 0.26 | 0.06 | 2.1x | 100 | 14% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3.1 |
2.7% | -73.9% | 0.23 | 0.04 | 2.0x | 98 | 27% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.3% | -83.6% | 0.15 | 0.00 | 1.1x | 214 | 50% |
| MACD fast=14, slow=30, signal=17 |
-2.9% | -90.2% | 0.04 | -0.03 | 0.5x | 380 | 52% |
| Buy and hold | 14.7% | -82.4% | 0.52 | 0.18 | 35.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 53-day average falls below the 119-day average